I don't think I ever played a truly sad game. I played plenty of bleak
games, prime example being Metro 2033
. When I played Metro 2033 I switched the spoken language to Russian and put on subtitles, which made me feel like I'm lost in a unfamiliar country in dire circumstances. Every gameplay element enforces this feeling. In Metro I never felt powerful or safe, instead always like one step away from dying an inglorious death with nobody to tell about.
Resident Evil might call itself "survival horror", but doesn't hold a candle to Metro 2033 in this respect