for my pics, I'd say probably Shadow of the Colossus, Mother series, Lufia 2, Final Fantasy VIII (Squall finally escapes into the afterlife and you see everyone partying after hes dead)

Mother series for sure, most notably Mother 3.... just WOW

mgs3,ico,SoTC,kingdom hearts....

Agro on the bridge in SoTC got me more than the very end.
FFX
Crisis Core
and two others for different reasons
Futurama
and Patapon

Squall didnt die...I think You didnt watch the movies during and after the credits

Every game.
It's just plain sad when you finally come to the end of game.
After everything you've been through, to know this is the very end.
So many hours painstakingly spent and to finally come to the end of your journey!
:,(

what about shadow of the colossus?

MGS3/MGS4/Crisis Core

I cried at all three endings.

don't know, i haven't played a game with a sad ending

(Spoiler: don't read if you haven't played it you have been warned!!!)
well it was close of a sad ending on Uncharted 2 where Elena nearly dies but thats about it

I ain't gonna repeat....so i'd say....SMB2

Realizing everything was a dream made me feel sad for whatever reason.