Eternal Darkness: Sanity's Requiem is a current favorite of this troper's and the only zombie game she's played that makes it clear early on that you shouldn't get too attached to your characters yet makes that really bloody hard. It seems as though most fans of the game have one character in particular who sticks out to them in some way. Often among the characters who meet horrible fates. Strangely, though, said fates are usually at the time more disturbing/haunting than tearjerking. Their aftermath/closure, on the other hand... In this troper's case, she wasn't sure whether to be happy and relieved or horribly depressed when she found herself putting her personal favorite out of the misery of a six-century-long undead curse. Said character's whole story certainly adds to the depressing aspect, though, gathering everything up into a punch.
For This Troper, it was the final battle with Pious that made the tears flow. One by one you watch these otherwise fairly normal, decent people destroyed by the machinations of foul things from beyond the veil, and eventually you realize that Pious' plans never specifically targeted these people. To Pious, they were little more than collateral damage, incidental, meaningless deaths that he barely even notices until Alex gets the Tome. I was grinning with tears pouring down my face when Ellia's ghost rose up out of her statue during the final boss fight, and I realized that every single one of them was going to get a chance at Pious' bony necrotic ass. It was especially so with Maximillian.
For this Troper, it anything and everything concerning Anthony. Just...just Anthony.
For this Troper, Paul Luther's death was horrifying and deeply sad. That he had braved his way through the nightmarish scenes under the cathedral - and had kept his faith - only for his life to be taken in a single, futile second was just heartbreaking.