2. Heavy Rain
This is a cheery one from start to finish. First protagonist Ethan’s favorite son gets run over by a car, then his other, formally not so favorite, son is all depressed, Ethan is all depressed, his wife is all depressed and divorces him, everybody is sad. Big, bad frowny face. And then, adding insult to injury, some madman kidnaps Ethan’s left over son, forcing Ethan into mutilation and murder.
But it’s especially the sad scenes at the beginning of the game that get you. The quiet, solemn feeling of Ethan just being lost, of his life having spiraled out of control that get to you.