Final Fantasy X, the ending when Yuna rushes to hug Tidus and falls through him because he's starting to fade.
Life is Strange Before the Storm. (Spoilers) The ending with the camera flash. I played the first game. I knew Rachel died. But I lost myself in "this" game where she's alive. Forged a wonderful romance with Chloe and everything. I remember it was like 3AM when I finished the game and when it faded to the shot of Rachel's phone sitting on the table with tons of missed calls and the camera flashing in the background, I just involuntarily blurted out "Oh FUCK YOU!" It was a painful reminder that no matter how happy you make her, she dies in the end.