Fallout 3 (especially the portrait at the end)

GTA IV

The Darkness

Dead Space (in a weird way)

I thought FEAR was kinda depressing once you figured out all the twists. But it was still fun as hell

Majora's Mask was a great game, but the environments could be fairly gloomy at times.

 I'm surprised Alma actually loved the point man at all

Nope Final Fantasy X hands down most depressing game of all time !
google it.

Shadow of the Colossus(PS2)
Nothing comes close to this. Playing as a single person in a huge world while sometimes endlessly riding on ur horse. Plus the music was so depressing at times it really added to the loneliness.

Oblivion ...

Yeah, FFX was quite sad in the end, as was CC that was a really really depressing ending

zelda tp the mood while playing this sunk dramaticly sometimes since u had noone to talk to instead of midna and her voice wasnt really nice

Ooh, Chrono Cross.

I've always found Front Mission to be kinda depressing, too.