Clannad. The fact that the best ending could only be obtained by the game's mechanics is kinda of sad and that the original ending actually happened. Poor Tomoya :(
Or for a more well-known game, Mario Galaxy. Even though those little Lumas will be reborn, they sacrificed their lives for the sake of the universe. Plus that handwave made me shed a tear.
Proud Member of the Mega Mario Movement Yummy Yoshi Yankees