3p - Mother 3
2p - Shadow of the Colossus
1p - Metal Gear Solid 3

3rd - Metal Gear Solid 4
2nd - Shadow of the Colossus
1st - Crisis Core: Final Fantasy VII

3p: Pokemon Mystery Dungeon
2p: Mother 3
1p: Professor Layton and the Lost Future

3p - Deadly Premonition: The only ending to a game that's ever really made me feel sad. Zach can finally live his life again, but pretty much everyone is dead. Bummer.

2p - Vanquish: Clearly, there was meant to be a sequel. Clearly, there won't be due to poor sales.

1p - Fable II: Specifically the "Good of the Many" ending. You rescue all these hundreds or thousands of people, sure, but not your spouse, your children, or most importantly, your loyal dog who took a bullet for you. I was hailed as a hero everywhere I went, but I felt like such a shitheel. Then Lionhead fucked it all up by DLCing your dog back to life. Fuck you, Peter.

wait what? WindWaker's ending was not sad at all. Unless you mean it was a bittersweet moment where you're sad that it's over.

But that's not sadness. Anyway, mine are

3p - MGS3: Snake Eater

2p - Red Dead Remption

1p -  Shadow of the Colussus

The King.... he is gone.

3rd- Final Fantasy XII - Not necessarily the events of the ending, But the implications of it, for those knowledgeable on the dense Ivalice lore (& it took me a long time and a contact inside Square Enix to figure out). The ending is subjective, but a victory & loss for all involved. Gabranth & Reddas are Dead, The Viera are free of their Occurian burdens but are doomed to die out as a race due to the actions of the party. The world is free of Occurian rule, but Ashe, who has proven to be possibly the most unfit character to ever be in charge of anything (she is the definition of a flake, taking the majority of the story (& ignoring others' recommendations the whole way) to decide on whether or not she should commit the greatest act of genocide yet seen in the worlds history) is in charge of Dalamasca with the only slightly better child Larsa in charge of the Empire. A great victory & loss expertly rolled into one depending on how you look at it.

2nd- Soul Reaver Series ending (as it stands currently) legacy of Kain defiance: where Raziel tricks Kain into killing him (Raz) by possessing the body of (timekeeper) Moebius & pretending to threaten Kain (Kain thinks he is killing Moebius (who is already dead at this point) & kills Raziel) so the physical (S.R Blade) and spiritual soul reavers (Raz) are reunited as one allowing Kain to see the (evil) Elder God for what he truly is. An epic finale to the story of two characters who never wanted to kill each other & such a massive (and amazing) character for the story to lose.

SPOILER WARNING FOR BELOW
1st - Nier, (2nd 3rd & 4th playthroughs). not necessarily an ending but these playthroughs in full, The story changes each playthrough & this game should perhaps replace the accepted psychological testing methods for identifying sociopaths. Having to play through the game repeatedly seeing the game from the 'monsters' perspectives (who it turns out are the real humans, Nier & the party as you play them (except Wiess who is his true self) are simply construct 'shells' that have developed sentience, the 'monsters' (true humans) created the shells to house their spirits due to the plague. In laymans terms, you and the other shells are killing their makers, the humans) Hearing the human tales of all those before you slaughter them is truly grim. If 'Beepy' and the Giant Wolf bosses stories dont bring you to tears before you are forced to kill them (to progress the game) then you are truly dead inside. The entirety of the playthroughs are horrifying (but amazing in illustrating the power games can have) from start to finish each time.

3P- Metal Gear Solid 3
2P- Shadow of the Colossus
1P Half-Life 2 Episode 2

Are two of them made by Ueda?

Well, you can put them if you wish and if you do consider them sad in some degree.