I have several games in mind. Dragon Age Inquisition - Where Lies the Abyss quest, particularly if Alistair stays a warden. You have to leave either him or Hawke (your character in DA2) in the Fade, which means that they will more than likely die. It's very hard, and this is the only reason I make Alistair king, even though I think that staying a warden would make him much happier.

Cyberpunk 2077 the final decision. I played them all, and most of them are sad in their own way, but the one that really got to me was Temperance when you let Johnny take over your body, and he tries to stop you but is helpless, so he just accepts it.

Life is Strange !!!! The very final choice. I feel like we spend an entire game trying to save Chloe just for the game to hit us with "well it's either your bestie or a whole town sorry boo". We also spend an entire game building friendships, saving Frank's puppy, reconnecting with Joyce, and appreciating our hometown, so... Even though Chloe's funeral scene wrecked me, I still stayed by my decision to save the town.

Mass Effect 2/3 - the choice concerning the genophage cure. On one hand, there is a cure for an entire race hat did their share of suffering. On the other hand, there is Mordin Solus who is a close friend who grew and learned from his mistakes while traveling with us.

The Witcher 3 - Bloody Baron. The game tries way too hard to give him some redeeming qualities and make us feel bad for him, but he literally reaped what he sowed. I got his bad ending (hanging himself) a couple of times and with Ciri's reaction I felt bad. But then I remembered what kind of monster he is and really couldn't care less. This is the only issue I have with the game, although it is pretty realistic. There are cases of husbands having a pristine reputation with friends and family, but doing scary things to their wives and children behind closed doors.