I remember playing Harvest Moon on SNES when we already had a N64 at home. But that game turned out to be more fun to me than anything I had for that shiny new console at the time. Which says a lot when Mario 64 was a launch title.

Also Persona 5 for PS3

Came out in 2016 while PS4 came out in 2013

Due to supply issues, diminishing returns and subsequent console generation elongation, I suspect the PS4 to be regarded as having a lot of swan songs.

Ghost of Tsushima
The Last of Us Part II
Horizon Forbidden West
Gran Turismo 7

But I sure hope that this selection pales in comparison to how fondly people will remember God of War Ragnarok in the future. I hope it turns out to be the masterpiece it could be.

The Dreamcast had such a short life span that every game was practically a swan song.

Conker's Bad Fur day, now that was one I neglected to mention. For me, it was not only the last hurrah for the N64, but also for Rare; nothing they've made since has lived up to their golden age of 1994-2001 in my humble opinion.

Metal Gear Solid 5 in 2015 also felt like the swan song for both the PS3 and Xbox 360; the last real AAA game released for those systems, pushing them to the very limit for one final encore before retirement.

Conker's bad fur day was my runner up for best Swan song. Never played it on the original hardware, I do not even think that the game had an official release in Sweden so one had to import it from UK or some other PAL-region.

The game play is not as good as other games from Rare, but the cut scenes is some of the funniest in the gaming world.
When the pitchfork fail to hang himself and the other barn boys just laughs at him for it is still one of my favorite dark humor scenes ever.