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Tear Jerker: Twisted Metal
Somehow, even Twisted Metal manages to pull this off, with Grasshopper's Head-On ending. The reason Krista's ghost is in the tournament? Calypso wants her to win so she can wish herself back to life. Then when she actually does win, she fails to realize what he was after, and simply accuses him of using her to kill more people. And just to make things worse, she wishes that the accident that killed her and gave Calypso his powers never happened. Calypso is forced to grant her wish, and we see her happily playing with a younger, friendlier father. Then we see her comatose in a hospital, with Calypso watching. He can't give her what she wants (since trying to Ret Gone anything in Twisted Metal never works), and she can't actually come back because that wasn't her wish. The best he can do is leave her in a happy dream state until she recovers. Just... damn.
Her ending in Twisted Metal 2 is an awful, awful thing. Krista, surviving the hell-war that is the Twisted Metal contest, is overjoyed to see her father — and Calypso feels the same for her, having thought that his daughter had died in a car accident that scarred him... But it's all a ruse. Krista is actually a simulacrum reconstructed by the LAPD, as she's the only person that Calypso would allow in his direct presence. Before the bomb within her goes off, Krista says to her father, "Hold me daddy, I'm just a machine now but I'm afraid the explosion will hurt." Calypso... hugs her. Who'd have thought that Calypso deserved any sympathy?
Dollface from Black. Everything about her is so tragic.
From Black, The Preacher's story. From the entire cast of the game, he seems to be the only redeemable person... but he disagreed.