6. Red Dead Redemption
Rockstar's Red Dead Redemption, in true Western fashion, ends with gunslinging antihero John Marston sacrificing himself to save his family. So the protagonist you spent 20+ hours navigating is dead, but at least he finally learned to do the right thing. Which begs the question: why weren't you making him do the right thing in the first place, you heartless jerk?
5. Shadow of the Colossus
In Shadow, you set off throughout a forbidden land to track down and defeat sixteen mysterious colossi. Unfortunately, it's revealed that the sixteen colossi were the only things keeping an evil demon named Dormin from reforming. Once you slay them all, your character gets possessed by the restored Dormin and you end up getting slain yourself. It's not all depressing, as the 16 Colossi join up with Domo and Hello Kitty for a super kawaii music video at the end of the game. Sorry, that part's not true. It really is completely depressing.