Rydia. Your introduction to her is amidst the destruction of her village, crying over her dying mother, whom you inadvertently killed. Then, after losing consciousness, she is taken to a desert town, and watches Cecil, who was unintentionally responsible for this, fight off the guards that are after her. THEN, she travels to Fabul, witnesses several people injured in the attack. En route to Baron by ship, she's swallowed by the Leviathan and taken to the Feymarch, where she is forced to live for years (to her) without any of the supporting figures that she knew. And FINALLY, upon returning she has to watch as some of her friends slowly go off to their apparent deaths, as well as atrocities such as what becomes of Edge's parents. And keep in mind, most of this starts when she's barely SIX!
Edward. He had his entire castle nuked, nearly everyone, including his parents, killed, and his lover dies in his arms after protecting him from the soldiers. This was implied to be mere DAYS before they hoped to marry. And on top of this, the guy isn't even given time to grieve before he agrees to help Cecil acquire a sand-pearl to help Rosa. Finally, he's confronted by the spirit of his lover, watches her move on, telling him to have courage. Subsequently he's horribly injured in the Leviathan Shipwreck, and washes ashore near Troia. When the party finds him, he saves them from the Dark Elf with the whisperweed, which leads his would-be Father-In-Law Tellah to finally accept him. And then Tellah dies fighting Golbez.
Krile is a fourteen-year-old orphan who nearly loses her beloved wind drake and does lose Galuf, her only living relative, to Exdeath. Then she has to take his place immediately to defeat the enemy that just killed him after begging him not to die. In the end, she's left feeling lonely because her fellow Light Warriors have their own lives to lead—thankfully they come to cheer her up. The poor kid really needs a hug.
Terra is the closest thing the game has to a main character. Her first memories are being brainwashed by the empire to kill people. Feared by people both because she worked for the empire and because she knows magic, she questions her ability to feel love. She finds that she is half "esper" and that her people are being tortured to provide the empire with magic, at which point she goes crazy and flies into the sky as a flaming purple banshee.
Celes Chere can lose "Grandfather Cid" on the Solitary Island, which then precedes to attempt to kill herself, with Sparkling Stream of Tears. She struggles with her loneliness throughout the game. But she becomes sort of the main protagonist of the World of Ruin and helps Setzer in his "Woobie moment".
Aerith. An adorable flower girl who just wants to be happy with her adopted mother, but, since she's the offspring of a forgotten race, is constantly being pursued by Shinra's top agents, is at one point captured by them and (almost) forced to 'mate' with a wolf-creature (albeit an awesome wolf creature, but still, furry and four-legged). Oh yes, and then she gets a sword stuck through her by Sephiroth.
Said awesome wolf creature, Red XIII aka Nanaki, had lots of shit happen to him too. His mom was dead, his father was Taken for Granite and he didn't know it for years, then was captured and used in experiments, and by the time we found him he was pretty much the Last of His Kind. And then we have the Tear Jerker of a scene in which he learns what his Disappeared Dad was not the Dirty Coward he always thought...
No love for Cloud? Sure, he started out as a Jerkass, but that's actually because his true personality is merged with his late best friend Zack's due to the Mako that Hojo has injected in him. He's has a rough childhood and ended up as a regular infantry man after being rejected by SOLDIER, then got experimented on for five years. This especially takes effect in Advent Children, where Cloud spends most of his time lamenting over his failures before finally getting better to defeat Sephiroth and his Remnants.
Tifa certainly counts. She loses her mother at a young age, and then almost dies herself when she tries to follow her soul into the dangerous Nibel mountain range. Then her father is murdered in front of her by Sephiroth, she's stabbed by Sephiroth herself and almost dies, and her beloved hometown is burned to the ground in front of her very eyes. And this is all before the game actually begins. Tifa then has to try and coax her childhood friend and crush out of his Mako induced stupor, and then she has to spend the first half of the game worrying about Cloud because his personality has clearly become merged with Zack's own. Then she loses Aerith, who at that point is a very close friend of hers, and then Cloud falls into the Lifestream and becomes comatose...
Jessie. Her few scenes show that she's clearly carrying a torch for Cloud and desperately wants his approval, but the most she gets, if the player so chooses, is slightly less abrasive replies than he'd give otherwise. Even when she apologizes for her fake I Ds setting off Shinra's security systems on the train (because she'd put extra effort into Cloud's, making the others in more of a rush), Cloud doesn't even reply. It's one of the last times she ever speaks to him before her death when Sector 7 is destroyed.
Vivi. The way he trips and falls, how everyone is out to get him because they think he's a soulless monster when he's really just the woobiest thing on the surface of Gaia. Insecurity and adorableness all in one little package, complete with sad glowing eyes and a mispointed pointy hat. Comes to a head when he finds out that he's the prototype to a lesser version of an Artificial Human, and he doesn't know just how long he has to live. The ending heavily suggests that he had less than a year as of when he found out.
Princess Garnet, or Dagger, had her father die when she was young, her mom go bat-shit insane and try to take over the world, is hunted down when she tried to tell her "uncle" about her mother's genocidal tendencies, had her magic ripped out of her by two freaky clown guys, is sentenced to death by her mom after she is seen as having no more use, had the stolen magic used by her mom to kill countless innocent people, and then watches her pathetic mom die at her feet. This is all before she finds out that she wasn't the queen's real daughter and her real mother had also died getting her to safety. Eventually, this gets too much for her, she has a nervous breakdown and goes mute.
Also Freya, who loses everything she has during the first half of the game. Everything.
Zidane. He spends the majority of his life trying to find a place where he belongs, being that he had dreams about Terra and all. When he doesn't find it, he returns to his adopted father Baku. Just like Tidus, Zidane is welcomed back with a punch from Baku. When he finds out he is not from Gaia and realizes he was created to be Garland's puppet, he has a breakdown rejecting his friends and all. The whole game for him, he's basically a Stepford Smiler.
Eiko is the sole survivor of the summoner tribe aside from Garnet, making her an orphan with only moogles to look after her. She's an adorably cute six year old girl who has no family aside from the aforementioned moogles. As her quote in the game suggests, she doesn't want to be alone anymore and is overjoyed at Zidane coming to her home. In the third disc, her love letter to Zidane is misplaced, she's kidnapped by Zorn and Thorn (who are now working for Kuja), loses her guardian Mog, and finds out Zidane loves Garnet more. After all this she gets her happy ending when Regent Cid adopts her.
Tidus may be cheerful but he is actually going through a horrible life. He is an orphan whose father verbally abused him. Growing as a teenager, his city was attacked by a monster and Tidus was transported to another world. He learns that there is no way for him to come back home across his journey but at least he makes friends, right? It gets worse, his love interest intends to sacrifice herself to destroy the monster who doomed Tidus, who happens to be Tidus' dad. Intending to save his love interest, Tidus learns another way to kill his father but without sacrificing others. However, at the same time he learns he was never real to begin with and going through this road he would stop existing... He still does it. Poor guy.
Yuna. At the beginning of the game, she appears like The Heart and a basic White Magician Girl. Later we learn that her Al Bhed mother was killed when she was barely old enough to remember; this pushed her father to become a Summoner, which resulted in his demise. After growing up in Besaid, she sets out to follow in her fathers footsteps, with absolute resolve. Then she meets Tidus, and begins to fall in love, which she admits is making the journey extremely difficult to continue. She's later kidnapped by an undead man, forced to marry him, learns her whole faith is a lie, branded a traitor by said faith, and learns that her sacrifice would have been a pointless one. There seems to be hope that Sin can be defeated without anyone dying. Then Tidus starts to fade away. Someone give her a hug.
Lulu and Wakka, to a lesser extent. Throughout the whole journey, they have to cope with the fact that they are (in essence) leading their surrogate little sister to her death, they both lost Chappu - Lulu lost her First Love, Wakka his little brother - and they're both failure knights; Lulu's first summoner died because she wasn't powerful enough, Wakka's first summoner (also Lulu's second) quit because he wasn't focused enough on the journey. They both lose Tidus (both of them having formed a bond with him similar to their bond with Yuna) at the end.
Final Fantasy XII: Oh Larsa, you poor, poor thing. First, he gives a pretty trinket to a girl he seems to have a crush on, which turns out to be nethicite, which could have possessed or killed her. Then, his brother kills his father, and becomes a bloodthirsty dictator in search of power. This means Larsa to help kill his own brother for the greater good. Near the end of the story, while the other character are looking towards the sky in hopeful poses, Larsa is inside in the dark crying over Gabranth's nearly-dead body.
Vanille. Tear Jerker Woobie. An exceedinglysweet girl who failed to be courageous when it mattered most. Results in pain, suffering, and fear for her friends and pretty much the world. Feeling her guilt, she carries a death wish for most of the whole game. And she's the cheeriest character of the cast.
Serah. Distressed Damsel Woobie. A quintessential cutie who just wants to get married and be happy for the rest of her life. But her older sister Lightning hates the fiance (Snow). She gets cursed into becoming one of her people's mortal enemies, and eventually her curse turns her into a Waterford decoration.
Hope. Teenaged Woobie. Mother dies in chapter 1. Wants revenge on the person responsible, who is really a nice guy and only wants to help the boy. Come on, the kid's also only fourteen.
Snow. Unlikely Woobie. A compassionate, upbeat guy. Then his girlfriend Serah becomes an enemy of the state against her will. Future sister-in-law hates him. Can't save fiance from turning to crystal. Feels horrible that he's inadvertently responsible for Hope's mother dying.
Sazh. Heavyweight Woobie. A kind and often humorous man whose son gets frozen in crystal. Finds out that the one responsible is the adorable Vanille whom he has grown quite fond of. She in turn feels so awful about it that she just stands there forlornly waiting for him to pull the trigger on her. Very nearly ends up shooting himself shortly afterward.
Lightning. Lost her parents at fifteen, and had to take an unwilling Promotion to Parent to look after Serah. Feels that she's become distanced from Serah, made even worse by her becoming a l'Cie. Watches her little sister get turned into a crystal. Later feels horrible for not being there for her, and is terrified of losing her forever (hence her animosity towards Snow).
Serah. The previous game's happy ending is erased because Lightning is erased from history, but Serah still remembers, leaving her emotionally distressed; Snow disappears to look for Lightning, leaving Serah alone with no word for two whole years. She's reminded by Alyssa of The Purge, which she still feels extreme guilt over. Near the end of her journey, Serah learns that she will die if they resolve the final paradox. She does it anyway. After this, she tries to console Lightning, but breaks from this to beg Lightning not to forget her. Ouch.
Noel. The Last of His Kind, who wondered the wasteland left behind, before finally being taken to Valhalla. As he journeys with Serah, he finds his memories are changing and/or simply disappearing, implying that as they fix the timeline, he is being erased from existence. At the very end, Serah dies in his arms, and he realises that the imminent Time Crash is all his fault.
Mog. His Character Development reveals that he has never had a home; wherever he came from, he can't remember it exactly, just how it felt. He was abandoned in Valhalla, where his weakness made him undesirable to every challenger he lost to (which would normally mean servitude; he was really that weak), except for Lightning, who took him in. He gets a chance at maybe getting back to his home, but gives it up because he promised he'd stay with Serah and Noel. Yes, even the moogle.
Lightning. After the previous game's ending, she is written out of history and denied her reunion with Serah. She eventually finds Etro's Throne, and realises that she has to fight, and that this means she'll most likely never get home. She learns of Serah's death, has a brief reunion with her spirit, and turns herself into a crystal to fulfill her final promise to never forget Serah.
Hope. After losing his mother, Vanille and Fang during the previous game (and Lightning, due to history altering itself), his remaining friends all disappear one by one (Snow to look for Lightning, Sazh and Dajh into a paradox, and Serah with Noel), and grows up alone as the Academy's leader.
Alyssa. She has frequent nightmares of her dying during The Purge, and makes reference to her best friend, who did die. Later it's revealed she sabotaged Serah and Noel because she actually did die in The Purge; she's only alive due to a paradox. Later, in Academia 4XX -AF-, you'll find she's disappeared. That's right, you resolved the paradox keeping her alive.Nice Job Breaking It, Hero.
Yeul. All of them. The same face, the same powers, but a completely different girl each time. All doomed to die at a young age (between fourteen and eighteen, roughly) because of visions they can't control. The worst part? They all show mutual acceptance of this. And then there's the one who got transformed into a Ruby of Despair because she used her powers to try and save people...
Final Fantasy Tactics Advance also contains one very legit Woobie. In the end, Marche, Mewt, and Ritz decide to get over their real-world problems instead of going into a fantasy world where they're a stronger person naturally, have red hair, and have a mother. Even though that wasn't Mewt's true mother... However, Doned's wish for Ivalice was simply to be able to walk again - he has to go back to being a wheelchair bound Ill Boy. Even if he gains friends in the hospital, come on, anyone can understand his wish...
Cid of The Lufaine AKA the Great Will, the man who first started the cycles of war between Chaos and Cosmos. He started the wars in an attempt to get back to his homeworld, but he wanted to first make Chaos strong enough to attack the people who used them both and got them stranded in the first place. After the 12th war, Cid's so horrified by what he'd done that he sides with Cosmos to make things right. He's then caught and trapped by Shinryu in yet another world, this one ruled by Chaos as punishment for breaking the cycle.
Chaos, for spending his entire life as a tool to someone else's schemes.