8. Zelda: Link's Awakening

After Link wakes up the Wind Fish, his quest is over on Koholint island. Unfortunately, so is the island; we learn that the whole land was simply a dream of the Wind Fish's. All those interesting people Link met simply disappear. We may never know what happened to them, but we'll also never know why the Wind Fish wasn't just dreaming about sexy naked lady fish. (Side note: while the ending to Super Mario Bros 2 is a dream as well, no one considers that a sad ending because no one ever wants to see Subcon again.)

7. Metal Gear Solid 3

Snake's main mission in Metal Gear Solid 3, like in most Metal Gear Solid games, is to stop a nuclear attack. As always, he succeeds, but the mission is accomplished at the cost of the life of Snake's mentor The Boss, a double agent who had been subtly helping Snake with his mission. After Snake receives his medal for saving the world, he famously sheds a tear at her unmarked grave, a subtle reminder of both the cost of war and the fact that Snake repeatedly got his ass beat by a girl.