This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / The Neverhood
The Neverhood: Maybe it's just me, but when I collected all the disks and watched the final video I felt rather sad inside. The way Willie says, "If you watching this, then you do good! Willie happy!" almost right after he and Robot Bil are killed by Klogg's Clockwork Beast is just depressing. That will make you want to kill Klogg.
Also, the Good ending: Hoborg is back and filling the Neverhood with more klaypeople, but Klayman is still sad because his friends Willie and Bil are still dead. The way he sobs into his face is heart-breaking. Luckily Hoborg knows what to do...