Silent Hill 2. The characters are so damn hopeless. Eddie is a paranoid murderer, James is depressed,repressed and simply losing his mind, Maria is a creature sent to torment an already unstable young man and Angela was raped as a child and probably killed her whole family. I mean..goddamn.
Overall, the game is a brilliant mixture of creeping horror and sadness, but one scene stands out in terms of sadness and that's Angela walking up the stairs.
AH!!! YOU STOLE MY GAME!!

*Ignores this post*
Silent Hill 2. The game was truly more sad than frightening. Angela walking the stairs is truly an annoying scene. There's this part where the movie sequence ends and you get your controls back, and then you see her slowly going up the burning stairs, and you try to run forward and stop her, but you can't. The game doesn't let you.
Though the scene in the game that touched me the most was the one where James sits in the room and watches the tape of his vacation with Sarah. And then he sais:
"Sarah didn't die. I killed her." You don't it. You simply don't get it. After all, she died from a disease. All he did was end her suffering. And still, his conscience (Pyramid Head) was torturing him for that. Now that's a strong message here.
After playing for hours and hours with these characters that you grow attached to, then go read their biographies, it can get a bit sad.
Age of Empires 2. XD
You know, the part in the France campaign where Joan of Arc is executed. It's not sad, it's just annoying. Throughout all of the Campaign you must keep Joan alive to complete the level. And then, before the final level, they go and tell you: "Oh, too bad for you, but this is a historical game. And if you know your history, Joan died in the end."
NOOOO!! But why? She was such a nice character! Only at 18, she liberated France and lead its armies to victory. And you worked so hard for it, too. So how does the game repay you? It burns her alive. Thanks.