Mother 3:
Masked Man is actually Claus, and when you beat him he kills himself. This whole game is depressing in general, but I'd say that was one of it's breaking points.
Zero Escape: 999:
The safe ending. I mean, Snake kinda freaks out when he realizes Clover is dead, so... Just gonna leave it at that. Also the sub ending.
Chrono Trigger:
Well, the main character dies. Do I really need to explain beyond that?