Do PC games count? If so, my 2 candidates for sad (or more precisely, disturbing) endings are :
1. Harvester - in the end you either agree to kill your girl friend and thus join the cult as a serial killer, or don't agree, and you are both killed...
2. Dark Seed - though I am not totally sure I remember correctly, from what I remember in the end it turns out all your hard work was for nothing and you contain the alien seed yourself.
Currently Playing: Shin Megami Tensei: Devil Survivor Overclocked, Professor Layton and the Curious Village
Anticipating: Xenoblade, The Last Story, Mario Kart 7, Rayman Origins, Zelda SS, Crush3D, Tales of the Abyss 3DS, MGS:Snake Eater 3DS, RE:Revelations, Time Travellers, Professor Layton vs. Ace Attorney, Luigi's Mansion 2, MH TriG, DQ Monsters, Heroes of Ruin
