- The deaths of Max's wife and infant daughter (pictured above). Even worse, it becomes apparent that Max's last conversation with his wife; which he totally blew off, is not only the reason she's killed, but it was the very thing Max is trying to destroy in his downward spiral.
- A depressing moment happens when Max gives his monologue while interrogating Gognitti, showing how far he's fallen since his wife's death.Max narrating: There was no glory in this. I hadn't asked for this crap. Trouble had come to me, in big, dark swarms. (shows Max with his wife) The good and the just were like gold dust in this city. I had no illusions. I was not one of them— I was no hero.
Max Payne 2:
- The death of Mona Sax at the end. Of course, you get extra motivation to complete the game on the hardest difficulty level and prevent it.
- The death of Vinnie Gognitti considering what a pathetic state he was in.
- It's minor, when you discover the equipment the Cleaners have been using to spy on Max and listen to the wiretapping logs, you discover that Max is so broken up about Mona's death in the first game that he literally calls phone sex lines just because there's a girl named Mona working for them. And he doesn't even want dirty talk, just the chance to talk to her.
- The last line really gets to me: I had a dream of my wife. She was dead, but it was alright.
- One of the neighbors early on rambles on about going on picnics with her husband... then says she doesn't remember if that was real or just something she saw on TV.
Max Payne 3:
- The intro when you start the game for the first time. (To see this again you'll have to delete your progress and and reinstall the game) Max in his apartment, drinking going through flashbacks of drinking in bars and placing flowers at the graves of his wife and daughter. He even throws a photo (presumably a family photo) against the wall, breaking it. Then later picking it up, sitting against the wall and breaking down crying.
- Max agonizing over not being able to prevent Rodrigo or Fabiana's death
- "What have you been DOING?!". Max's genuine anguish at his discovery of what UFE's been up to is so heartfelt and despairing. But at the same time, it's reaffirming in an odd way. For all his apparent nihilism, at his core, Max is a good man, with solid morals. His agony is not only utterly heartbreaking but it really marks the moment where he stops just being swept along and decides to DO SOMETHING about it all.
- Max in the flashback levels just seems so destitute and burnt out. He even says he loathes his existence so much that suicide is actually beneath him. Even after moving to Brazil, for a good while, he never seems to come out of his funk and a lot of the levels of the first part end with him swilling bottle after bottle of whiskey in anger. His is a deep and unsettling depression, quite possibly one of the darkest in gaming.
- It makes the ending, when he manages to escape to a tropical island and orders a soda, that much more happy. He's a broken, scarred, aggrieved man...but he's working on that. Finally.
- The soundtrack of the third game, particularly "Pills" and "+90". "Torture" also, given its tone of depressed nostalgia.
Trust us now
- "TEARS" can also be one, if you interpret the lyrics as being Max's dead friends and family begging him, once and for all, to let them go and move on with his life.
It's time to let me go
Give up on us
Follow what you want
Trust us now
It's time to let me go
Give our soul away
- A surprisingly subtle one that requires knowledge of Portuguese to fully understand. Where most of the enemies in the game shout curses and insults, The UFE soldiers sometimes shout for Max to surrender and remark that they're Not So Different in their methods. If you take the time and look at their faces, many sport scars and dark circles under their eyes. Deep down, many of them are as haunted by what they've seen and done as Max is, only they lack the shreds of honor and integrity Max still holds.
- At a certain point in the game, an UFE soldier will surrender after you massacred his buddies right in front of him. It doesn't take knowledge of Portuguese to know that the poor guy is audibly terrified of what he just saw. Killing him is optional, making him the only enemy in the game that doesn't need to be killed in order to progress.
- Rodrigo's death, as he actually seemed like a nice person.
- The ending. More specifically, the vision Max has of walking into the bedroom of his house to find his wife sitting on the edge of the bed, their daughter in her arms. He's greeted with a "Look, it's Daddy!", and lifts his daughter up just as his wife says "Not yet, Max." For all the film's flaws, it is an incredibly moving scene, and Marco Beltrami's score really sells it.