The ending cutscene of 2. It's enhanced by the music.
Mega Man 2: The Power Fighters has Mega Man's ending, where Wily drives him into questioning his motives and existence by calling him a hypocrite who destroys robots to bring peace. He's in such a state of navel-gazing that this is what lets Wily escape.
Wily: You always interfere with me.
Mega Man: I'll keep on fighting for peace for both humans and robots!
The remix of Ballade's theme turned out rather sad, so much that the song was named "Farewell to Ballade". For that matter, Ballade's Heroic Sacrifice at the end of Mega Man IV comes across as an unexpected and tragic moment, especially with Mega Man begging him not to go through with it.
9 can get to you if you think about it. Just imagine living your life knowing that you're forcibly going to be killed on a certain date and replaced by a newer model. What makes it worse is that the Robot Masters are still active when Wily finds them in the scrap heap. Which makes one wonder if one day the government will get rid of Mega Man.
Given what happens in the series that follow, Dr. Light's wish for everlasting peace, building Mega Man and X, etc., turns out very tragic.
The ending of 3, where Mega Man learns of the existence of his long-lost brother Proto Man, and he looks up at the sky and sees Proto Man's face.
In Mega Man 11 Dr. Light tells Mega how his disapproval about Dr. Wily's Double Gear system back in their university days led to his former friend's Start of Darkness. The death and destruction of the X, Zero, and ZX games, finally culminating in humanity's extinction by the time of the Legends series, started from a simple disagreement. Light laments that if he had tried to work with Wily instead of just telling him he was wrong, it might not have happened. Making it sadder is that Wily originally developed the Double Gear so that "any robot could become a hero," even though he still saw robots as tools. Then there's the ending, where Dr. Light attempts to make Wily reconsider and offers to collaborate with him, telling him Mega Man is their vision combined, but Wily refuses and vows to have the world kneeling at his feet. There's really no hope of them reconciling.
The most poignant is the ending of BN3, where everyone thinks Mega Man is gone for good. We see Lan four months later, still heartbroken but moving on with his life. Only after the credits does Lan's dad find a way to save Mega Man.
The ending is made worse in that after Lan wakes up post-credits, Mega Man doesn't speak. The poor kid could've dreamed he was talking to him.
Dr Hikari reveals that he could have deleted Alpha/Proto at any time but chose not to. Why? Because the final safeguard against Alpha, Guardian, contained the digital-personality of his father, Tadashi Hikari, who was implied to have not died but chose to be sealed with Alpha to contain it. It makes an earlier scene absolutely heartwrenching as Dr. Hikari escapes out of the hospital and bears incredible pain to finally delete Alpha, likely wrestling with the idea that he would indirectly murder his own father by doing so but no longer had a choice.
The ending to Star Force 3 was this combined with a Heartwarming Moment. Geo's beaten the big bad twice, the second in such a way that it will never return. Except...by doing so he has sentenced himself to death in space, since fighting Meteor G generated so much noise that the rocket - the one that Geo needed to be able to get to and from the Earth and the Meteor - has completely failed. Not only that, but unlike the first game with a similar scenario, there's no capsule for Geo to ride off in, no capsule which his friends could send a signal for it to track back to Earth - nothing. And then you see everyone in the WAZA HQ realising this. But then, a message is sent to everyone's Hunter. The sender? Kelvin - Geo's dad. Hope proceeds to break down into tears as she hears her husband's voice for the first time in three years. But that's not where it ends, far from it. You see the reason Kelvin has sent out this message - and to the entire world even - is to ask them, plead with them - no - beg them to please help his son who is now floating in space, protected only by a small field of EM waves that won't last long. He asks them both as a human being and as a father, to help the boy who saved their lives. Now if you know the Mega Man series, you know that it puts a lot of effort into proving just how Humans Are Bastards, so you really don't expect much...
The entire world gets to work, distributing power to WAZA, as well as creating a Purpose signal so strong, that it literally becomes Purpose wave which begins to tug at the EM waves surrounding Geo, and bringing him home. One small problem though - it seems that Omega-Xis and Kelvin aren't gonna be able to come with him, setting it up to be a Bittersweet Ending. And during the credits we're treated to drawings depicting how Geo's life continued once he came back to Earth. However after the credits you see that though two weeks have passed, Geo has been hiding his sadness over his loss of both his best friend and his Father for a second time. Then suddenly, we see a blue shooting star crash down towards him, revealing that not only is Omega-Xis fine, but he's brought someone with him. Cut to the Stelar household where Hope has just finished making dinner, to find her son walk through the front door with not only everyone's favourite alien— but with the man she loves. Cue the Happily Ever After.
Ruby-Spears' Mega Man
The Ruby-Spears cartoon had this too. Near the end of "Bro Bots", Mega Man saves Proto Man's life during their fight, despite the latter betraying him and his family after pretending to be good. After a corny line, Proto Man grows serious and asks if he's getting sentimental. Mega responds that he owed Proto for telling him about the scrambler chip he'd placed on him, and now they were even. Then sad music starts playing as Proto Man leaves to rejoin Wily.
Not only that, but Proto Man punched through a glass window as he made his escape. The shards became embedded in the now-cooling lava, and you saw Mega Man in their reflection. Not moving to stop Proto Man. Just standing there, staring at where his brother left...
Proto Man: Until next time, bro.
Mega Man:(bitterly) Yeah. Until next time... bro.
Another was in the episode "Mega-Pinocchio". After believing he was turned into a human, Mega Man failed to stop Gutsman and Cutman, taking the blame for letting them get away. It was really Wily toying with his mind that made him hesitate, but Mega was unaware of this. He ended up talking to Dr. Light about it, which resulted in the following lines.
Light: Don't be upset, Mega. Failure is a human quality. But we humans learn from our mistakes.
Mega Man: ...am I one of your mistakes?
After playing Mega Man 10, the scene in "Robosaur Park" with Mega and Roll arguing over who should take the antidote becomes a lot sadder. In both scenarios, Roll gives the same reason that Mega Man should take it. She couldn't stop Wily. He could.
The Fan Film
Wily's apology. He sounds sincere.
Of course, his following fifteen attempts to take over the world cast doubt onto his honesty.
In issue #35 of the comic, Break Man goes to talk to Tempo about the meaning of "family" and dealing with the whole Death of Personality that occurs when a Robot Master's personality core has to be repaired/replaced. The whole scene is emotional due to the subject matter and the full disclosure of just how different Tempo is after her emotions were restored. What takes the cake, however, is when asked if he simply cannot bring himself to forgive Dr. Light over a what-if, Break Man finally snaps and screams "HE REPLACED ME!" at her as he smashes a nearby picture of his creator — enhanced by how his eyescan very briefly be seen through his visor. Oh, Blues...
Tempo and her creator Dr. LaLinde's heart to heart after Blues storms off seriously tugs at your heart.
Another one comes in the confrontation with Needle Man. After Mega Man breaks sequence a bit by copying Needle Cannon before beating the Master and tries to use it on him, Needle Man is not just angry, but mortified that he'd do that. When Rock insists that he doesn't want to hurt him or his brothers and asks why he doesn't just give up, we get the heartrending response — he simply can't. Needle Man deduces that Mega Man's vague programming of "help people" allows him to be more than what he was intended, while the 3 Masters have one very specific goal they don't have the leisure of defying without Copy Robot like the first generation of Masters did. Something Needle Man in particular very clearly doesn't like —
Needle Man: You were built to "help people". You get a nice fuzzy definition to work within. We weren't given that! "Fight Mega Man! Destroy Mega Man!"... IT'S ALL WE'RE GOOD FOR!
After finally incapacitating the Robot Master, the fight ends with a black-on-red silhouette of Mega Man solemnly putting a Gemini Laser right between Needle Man's eyes. At his request.
Needle Man: It's never about what we want. We're just tools, kid. So do your job. Take the shot.
The scene in Issue 44 where Spark Man — the last surviving Robot Master of the MM3 line in this continuity — breaks down in tears over his fallen brothers is just downright heartwrenching. Even worse is how it leads to the vengeful Spark Man confronting Mega Man over him destroying them — by this point, he's reduced to screaming at him hysterically and attacking in a blind rage, even threatening to murder Rock's family out of sheer grief-induced madness.
Spark Man: You think that excuses anything?! I'm already losing eight of my brothers to the plan. That can't be helped — we were built to serve! But the others — my line of Robot Masters... THAT'S ALL ON YOU!
When Mega Man mentions that Wily was killed by falling debris after the fight with Gamma, Light looks absolutely devastated. Even after Wily attempted to conquer the world at least four times, tried to kill both his remaining children after already taking one of them, and even destroyed his home and laboratory purely out of spite, Light was still deeply saddened by Wily's apparent death. It's obvious that before all of this, they were not only coworkers, but great friends...
Similarly, Doctor Light's breakdown upon Mega Man returning home and finding out that Wily had betrayed Light and taken Gamma after threatening to murder Roll—
Surprisingly, the Doc Robot. Like in the games, it can use all eight weapons from the Mega Man 2 Robot Masters. However, instead of fighting eight Doc Robots with a weapon each, Mega Man fights just one. With all eight personalities of the 2 Masters. They're clearly angry with Mega Man about being left in this state and want to kill him, but the more they're forced to co-operate and fail as a result of clashing morals and fighting over who gets the honor of doing what, the worse their mental states get. It gets to the point where they nearly fry themselves out of frustration and sheer agony, and the fight ends with Mega Man yet again solemnly performing a Mercy Kill as they accept their defeat.
Doc Robot: (glitching through its multiple personalities) Please. Mercy. Please. Rebuild. Stop. IDIOT! Wily.
After Mega Man saves them, half of the Wily Robot Masters— Quick Man, Crash Man, Metal Man, Heat Man, Needle Man, Magnet Man, Gemini Man, and Top Man— would not be content with a new life, and resent the idea of losing their free will via reprogramming. So, by law, they are decommissioned. Rock and Roll are both in tears at this, and Dr. Light tells them of the harshest lesson: "we can't always save everybody, and not everybody wants to be saved."
Rock's reaction to Concrete Man and Guts Man casually talking about their inevitable decommissioning is absolutely heartbreaking. Guts Man's attempts to reassure him by telling Rock that he's Doctor Light's son (and is thus liable to remain active for as long as the good doctor lives), only worsens the situation.
Guts Man: (putting a hand on Rock's shoulder) You don't have to worry about it, tho'. You're Doctor Light's son. That function lasts as long as he does, and then you become his legacy.
Rock: (knocking Guts's hand away) I'm not worried about me! I'm worried for you and all the Robot Masters! Every life is precious!
Guts Man: We ain't alive, tho'. We're just "life-like".
Rock: (on the verge of tears) That doesn't matter to me! I HATED fighting and damaging you!
Issue 54 proves Blues just cannot catch a break. First, Wily blackmails Blues into kidnapping poor little Kalinka. Then, a visit to Lalinde reveals that Wily was lying all along. Blues' core is fine.
Kalinka's situation as well. The little girl is kidnapped by a complete stranger at a playground, and is last seen all on her own, huddled up in a dark room so that Wily can ruin her father's reputation.
Dr. Light sees the entire timeline of the main Mega Man continuity and laments that his contributions will lead to nothing but constant war, with future generation paying for his mistakes. He brushes this aside, believing that such things are inevitable and that there's nothing to fear as long as there people like Rock are around. The irony is that it is his fault, but not only because of what he built. As the backstories for Mega Man X and Mega Man Zero were fleshed out, it's revealed that many of the problems of those series are the result of Dr. Wily's inventions being misused. If Dr. Light hadn't stood up for Wily after the Ra-Moon incident, that would've been it. Wily would've been imprisoned, with no secret Robot Masters to bail him out. No Bass, no Roboenza, no Zero. Even Xander Payne, who would eventually imprison and bankroll Wily as Mr. X following the events of Mega Man 3 might've let him rot. Dr. Light doomed the world, not because of his genius, but because of his compassion.
Though, to be fair, he isn't entirely wrong. Even if Wily going to jail would have been the end of it, there's no guarantee that the events that followed wouldn't have happened anyway, as Wily could have possibly made more contingency plans in the events of his capture. Or not to mention, that it's possible that some people might be inspired by Wily to their own hand at world domination. And it's entirely possible that problems that occur in the X and Zero series would have occurred anyway but just from a different source. So in the end, even if Light didn't stick up for Wily, the world was doomed the moment Wily showed how even the most peaceful of technology can be misused.
The Short Circuit of in which Mega Man characters from virtually all media (including the Ruby-Spears cartoon, Mega Man from Captain N: The Game Master and the bad box designs from Street Fighter x Tekken, European version, 9 and 10) and games (save Battle Network) join in on giving the comic a send off via singing Vera Lynn's We'll Meet Again. It's very sweet as it is silly.
A very common fan theory for what happened to the Classic cast before the X series, popularized by the webcomic Bob and George, was that Wily activated Zero, who killed him and everyone else before finally being stopped, usually by Mega Man. Many fanfics have taken this idea and ran with it, as has this fan animation.
Comparing Dr. Wily between the standard universe and his alternative in Mega Man Battle Network. In the latter, he eventually manages to put his rivalry and envy behind him and goes on to help the world. In the former, he goes completely off his rocker and tries to spell doom for the world for centuries after his death. It'd be sad and pathetic if it didn't cost billions of people their lives. In the Japanese version Wily was unrepentant and died with his hatred at the end of 6, which is also sad.
Try reading this Dorkly comic. Really sad for Mega Man and worse if you've played 6.
Almost since day one, the franchise has been exploring things like violence and war in rather dark, adult ways. Classic Mega Man has been led to question his motives at least twice, and even once attempted to outright murder Dr. Wily in cold blood as a result. Then there's the X series, where the ending of the first game gives a grim outlook for peace in the future and later titles see X and Zero forced to turn on each other. Of course, the reploids fought in the X series are mostly innocent, but once infected by the Maverick virus, there's simply no way to stop their destructive rampage than to kill them.