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Reasonable said:
Hmm. Probably some of the endings in Silent Hill 2 - clue, the not very happy ones.

I also found Ico to be wonderfully sad, although it depends what you take as its ending point.

SOTC also had a brilliant ending, very moving.

Also, just today I had a sad ending in Left 4 Dead, playing offline for a while due to a borked connection my NPC buddies sadly failed to bother helping me out and let me die, the silly sods. It was a very sad ending indeed.


Shadow of Colossus? There is no development for the relationship, I had to read the manual to even know that was his sister.