I'd go with Castlevania: Lord of Shadows, wasn't particularly sad but it just showed absolute despair:
Gabriel traveled on a very long journey to save the world and the faintest possibility to bring back his wife only to find out that the only guy he somewhat trusted had betrayed him, that Gabriel himself had killed his own wife as he was used by the guy that betrayed him. And then finally after fighting him and then on top of that satan, there's no moment of happiness as he cannot bring back his wife and on top of that now has to fight this even greater being that again will put the world in peril.(DLC) then after defeating it he then finds himself becoming an immortal being only to sit and watch as the world progresses as he dwells on his past events.
one of the worst endings I've ever witnessed
