Persona 3 Shinji and the MC, the MC is especially bad since you actually get to deal with the grieving from the rest of the cast in The Answer
Persona 4 Arena had Unit #024, which was a pretty heartbreaking story.
The Boss in MGS3, cause I really liked her character and I found it more traumatizing that I actually had to pull the trigger. Yet, I'll say its really when you get to the scene where Big Boss is saluting at the grave that really gets me, especially since switching to FPS Mode the screen starts watering up... The reason why E.E. never gets love is because she is obnoxious and makes you deal with one of the most frustrating parts and the low point of Raiden's mission. Even running around naked is not as demeaning as trying to escort this useless girl and then she smurfing gets killed at the last minute? The scene is good but the anger and resentment I held for her is greater than any sympathy I could have felt.