Here's one that I thought was really sad. On the cargo ship in Final Fantasy IX when the other mages were killed, you could just feel how sad Vivi was and it was overall just devastating. Also one of the reasons Vivi's my avatar.

I admit it's not the saddest scene ever but it was still good.

And the ending in Kingdom Hearts 358/2 Days was sad. Roxas losing everything he knew and loved and then made a desperate attempt to make everything normal again. I thought it was brilliant. 

You know what sadder? im very late on this but Vivi actually died at the end! I played FFIX 3 times and didnt realize that. He didnt even get to see Zidane's return

Look, almost everything to do with Vivi was depressing, but I had to narrow it down.

Really ? I don't remember him dying

I wish the Black Waltz had a bigger part in FFXI they were cool.

Valkyria Chronicles.

The scene where Isara gets shot just as Rosie has finally warmed up to her, then the burial scene that follows when Rosie starts to sing.

Ocarina of Time.

Walking into Zora's Domain as an adult to find everything frozen.

aerith death

Silent Hill: Shattered Memories Ending:

Also in REmake when Lisa Trevor finds her mother's skull and jumps into the darkness.

Anything that's sad and has to do with children always gets me

When Vamp kills Otacon's sister in MGS2.