4. Final Fantasy X
Before they became the Garfield of video game developers, minimizing work to get maximum amounts of lasagna, Square was doing ballsy things with video game narrative. Though plenty of their games have sad things in the middle (rhymes with Harris Cries), Final Fantasy X ends with the death of its protagonistTidus. The player later finds Tidus in Final Fantasy X-2, where he gets reunited with Yuna, but the existence of FFX-2 is a real-life sad ending.
3. Halo: Reach
The ending to this game is pretty obvious (it's a prequel), but the game still dumps it on you in a surprisingly depressing way: after your team gets slaughtered by the Covenant, your player is left in a Lone Wolf mission, fighting off as many soldiers as he/she can. No matter how good of a Leonidas impression you can do, your Spartan eventually goes down (or maybe that's what makes a good Leonidas impression). Much like Red Dead Redemption, the ending is satisfying because of how important your sacrifice is: because of your team, Halo was discovered, and eventually the entire covenant was defeated. Too bad your Spartan will never hear about it.
2. Grand Theft Auto IV
Rockstar's sprawling epic about chasing the American Dream and beating people with baseball bats in an alternate version of New York City ends with a Sophie's Choice- if you decide to get revenge on your mob rival Dimitri, your girlfriend gets killed. If you don't, your cousin Roman dies in a firefight. So whichever choice you make, to be vindictive, or to stay on the straight and narrow, ultimately you get screwed over. Truly an accurate depiction of America.
Of all the games on this list, Nier has the saddest consequences. After beating the game multiple times, the main shadow villain gives you the chance to save your possessed friend once and for all; the only catch is that you have to sacrifice yourself and disappear from the world entirely. "Big whoop," you say, "not that big of a deal." Well, yeah, except that when they say "sacrifice yourself" they really mean "we're going to ERASE your entire save file and make you watch while we do it." No word on whether the shadow beings possess your thumb drive if you try to back up your save