For me it's: The Last Remnant's endingDino Crisis 2's endingGears of war 2: Spoiler:
FF8 had a sad ending, but in true Square style then it wasn't for 5 seconds :P
Heavy Rain, although has multiple endings, a couple is very sad.
Project Zero 3, half way through it just got weird and sad.
[Edited by Latiosmaster47, 4/25/2011 7:09:17 AM]
Mafia 2.. somewhat.. but the whole thing was just.. abit.. lame..
Assassin's creed brotherhood, was sad.. but i dunno there has to be a twist with all what she said..
call of duty: modern warfare 2: when ghost dies.. which is very sad for such a guy with an awesome mask ):