Re: Saddest Games
This is a good question! Never really thought about it. No game in it's entirety did the trick, but either endings or certain scenes stick out in my memory.
Zelda: A Link to the Past: the poor little fellow in the forest, in the clearing, who was turned into a tree? Not sure if I remember that correctly, but it always was a bit sad.
It may sound like a cop out, but the ending to FFX. I was pretty well invested in the characters, and it tugged at my heartstrings a bit.
Speaking of FF, in FF7 the death of that one character (I know everybody has played it, but trying to keep this a bit spoiler free) was kind of tough. Actually, there were quite a few moments almost as powerful throughout the game. Most playable characters are tragic.
The scene in Chrono Trigger where they are dragging the droid back to, um, wherever they were going.
What happens to Nei, and then with Nei First in Phantasy Star 2. An overlooked penultimate video game scene that predates the more popular event in FF7, I must add. Further, the ending of the game (I'll say it's like the series finale of The Sopranos) has you rooting for the good guys in a melancholy way.
I'd describe Zelda: Majora's Mask as "forlorn". But I cannot say with any certainty that it is "sad" since it is one of the few Zelda games I never bothered to complete.