The Klonoa Series (or most of the notable releases in the Klonoa series, to be exact) is quite possibly one of the darkest and most emotionally heartrending "cute" series out there, right up there with Mother. Take how Kirby plays around with the concept of nightmares in a dream world and crank it up to eleven.
http://tvtropes.org/pmwiki/pmwiki.php/TearJerker/Klonoa
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