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Professor Layton and the Unwound Future's ending was a tearjerker.

BioShock Infinite made me really sad as soon as it ended, it was a magnificent experience and I didn't want it to end.

The fall of The Kingdom of Zeal, among other things, were really depressing in Chrono Trigger.

To The Moon was also a really sad game if you think about what ACTUALLY happened.

Mother 3 was really emotional and depressing.