1.) Fable II
Fable II is arguably the best game in the Fable franchise. It's not a fully depressing game, but there was one moment that caused me to break down completely. It was a product of hours adventuring with a loyal companion- my dog. He was helpful during fights and looking for items. However, it was fun simply exploring the different parts of Albion with my dog.
Suddenly, he sacrificed himself trying to save my life near the end of the game. I had a feeling that the dog would die because killing animals is an easy way to tug the heartstrings of players. However, I wasn't prepared for it when it actually happened. I felt like I lost a limb. My partner was gone and I didn't know what to do.
In my lifetime, I experienced witnessing my dog die of old age and another put down because of severe cancer. Seeing the dog die in the game hit home. I was so attached to my companion that I chose its life over the lives of thousands or millions. Yes, i'm selfish but that's how much my pet meant to me.