I thought the ending to FFTactics was kinda sad - with Ramza & co. being killed by defeating Altima.
A lot of people think or thought Aeris' death in FFVII was sad, but I didn't. However I thought the part when Sector 7 collapses & kills Biggs Wedge & Jesse was pretty fucked up.
When Sonic Adventure 2 was released I thought the end was a bummer when Shadow seemingly falls to his death. That should've been Shadow's demise right there & left his character out of any other game.
Megaman X5 had a sad ending with Zero's destiny coming full circle. Again, they should've left that as is instead of churning out more sequels involving him.
There's a lot of RPGs that have emotional moments, can't think of any right now..