Crisis Core: Final Fantasy VII's ending is the saddest for me, the silly part is, I even knew it was coming. Me and my step-brother completed it in one day, 14 hours straight, we were depressed for a few days after that.
Second would be Final Fantasy X, I always thought that Yuna was going to die at the end and accepted that, but then it suddenly turned around at the end, and Tidus died instead.
Metal Gear Solid 3 was also sad, although I haven't completed in a while, and now that I'm older and will understand the story better, the ending might be even more sad.
Lastly, (spoiler tags because it's a recent game), Final Fantasy XIII-2. The ending wasn't sad like the other games, but more shocking. The poor story took away the impact of the ending, but it was still very un-expected and sad to see Serah collapse on Noel and die, they were brilliant characters and they had grown so close, almost close enough for Serah to dump the big paedo for him.