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Depressing, sad and unexpected endings (SPOILERS!)

Deadly Premonition

The revelation about York and Zack, Emily's fate, and the ending scene in the woods... Not to mention just how badly the town had been perverted by F.K. Really sad when you realize how much sadness he brought to that community and its people. Granted, not everyone was innocent of their fates, but it's still sad when you reflect on just how much they were pushed over the edge.

Yes finally!

The choice at the ending was amazing, even when it only was an illusion to choose (I picked the correct one the first time, so it felt very rewarding).
 
Since it's so easy to get I think Persona 4s 'bad' ending qualifies

Nanako dies if you choose to kill Nametame which isn't the most ludicrous of ideas coming up to that point. The ending sequence with Dojima asking if you could 'go back in time and do things over, would you?'. Then there's the the departure sequence where you leave all your friends behind for their impending deaths along with Inaba. They all just stand there completely blank and emotionless which contrasts with the 'good' ending which was so wonderfully saccharine in comparison. Finally the ending credits with a black background with the sombre piano piece telling you that you fucked up

The first time I got it I thought, what the...

:(

:(((

Then I sort of figured out it was too depressing and had to be a bad ending. Luckily, it turns out it was.
 
I always loved how darkly introspective the Stalker endings were. My first ending was the riches ending wich is acquired by getting a certain amount of money during the course of the game so when you finally make it to the wish granter, you wish for wealth. As gold coins begin showering you, the scene shifts into reality, as nuts, bolts, and rubble cave in and crush you. Loved it.

The immortality ending was also particularly interesting.
 
Kinda sucks that this whole thread is a spoiler - knowing a game has a sad ending is a spoiler and usually implies certain things - but there's no avoiding it.

My vote easily goes to Silent Hill 2.
 
Red Dead Redemption

John being gunned down and his son ending up falling down the same path John did. ultimately, Ross won even though he died. he was still labeled a hero.
 
Hyperdimension Neptunia, for such a funny game had such a depressing True Ending.

Neptune and all the goddesses lose their powers and they die anonymously as humans and are completely forgotten
 
Silent Hill: Shattered Memories, because
it deals with the tragedy of loss, and acceptance that when someone is gone (dead) from our lives we will never experience their company ever again. The twist is good as it toys with the player's natural attachment to their game avatar (controllable character), and the unnecessary projection of our own emotions and personality through them.
 
I think Nier is worth a mention as the most depressing game ever created, in general. I've only started my second playthrough, but
that little girl in Facade was born with burns on her face and was shunned by society and forced to not talk, then she finally finds love and gets killed on her wedding day. The thing what killed her (according to what I've read accidentally) remembers that it was once a human when you avenge her. Then in the end her husband and his army somehow show up in the final dungeon randomly and sacrifice themselves so you can continue onwards and accidentally doom humanity. Also two of your best friends it turns out have to fight you, and you are forced to kill one of them, and the other goes insane with grief and one of your party members puts on a brave face and sacrifices himself to save you, but they soon realize they're going to die and start crying when you're out of earshot.
Basically, everything bad happens to everyone ever. Even the things you don't realize are depressing. That book you fought in the mansion? That was
Weiss's old sort-of crush from way back when. He saw her get killed and turned into a book right in front of him. She died sacrificing herself to save him.
I don't really remember any happy things that happened in this game.
 
MGS4 was incredibly sad, saying goodbye to Snake. I just had to turn the TV off as soon as he pulled the trigger and the credits started :'(
 
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