Can't think of any sad endings to tell you the truth, but one part of a video game that left me a bit emotional was when Aeries got stabbed by Sephiroth. Then Cloud lays down her body on the water where she slowly disappears into the abyss.
Sorry, but I LAUGHED when Aerith died. Cloud didn't even lay a finger to try and save her. Nothing at all. At least in the other games, people tried to do something about it to their fallen comrades. You know, Cure? Phoenix Down? PHOENIX? No. All he did was lay her in the water. Never mind that it was a stab wound and she suffered even worse in regular fights. She was blown to smithereens by a flare, and I simply revived her. A stab wound, nothing. I dunno, it's just hilarious.
I'm kind of...ok with what Freak said lol; I always wondered why they just couldn't revive with phoenix downs people who died outside of battles hahaha... In any case, Ima go play shining force...yes, the one for the genesis... If not for Klonoa, Shadow of the colossus had a wonderful ending; both very sad and somehow comforting at the same time.