What is, in your opinion, the saddest ending in a video game?
Imo, it's Shin Megami Tensei 2 (It's actually a game that was never localized outside of Japan).
Well, anyway, regardless of which ending you pick, you always have to fight the evil God of the multi-universe who rules over your world.
The God tells you he's going to send your soul to hell and torture you over and over after he smites you. >_>;
So, you fight him, you kill him, and then his voice sounds again telling you that because people still seek out his power in other worlds, he will only be resurrected endlessly and that you killing him didn't really do anything except free the world you live in from his evil grasp (He was threatening to destroy all humans in the planet simply because he doesn't like them). He then places a curse upon you which will last until the end of time.
In the sequel game, assuming you do the bonus dungeon, it's heavily implied the main character of SMT2 is this one character who has a curse placed upon him in which his soul is always reincarnated during the time one of the many planets in the universe dies and he is burdened with writing down the entire history of how the world is changing and what the world's reborn form will be. Apparently, his soul is cursed with traveling among billions of universes in which its time for the end of the world to happen so he can watch and write about it. Worst part is, because he's always reincarnated, he never remembers what he did in his previous life, so he has no idea why he's being cursed in such a way.
Yeah.. >_>;
Honestly, eternal torture, I can't think of anything worse. At least other characters who die get peace at death.