If we were including spin-offs in this I'd like to put in a note for Crisis Core. It's nowhere near as depressing as VI in terms of what actually happens, but playing the entire game with foreknowledge of what's going to happen in the end was pretty devastating.

Also the way it happened was pretty devastating. That entire final sequence, the way it was worked into the gameplay, was so unbelievably well done. I cried a lot, I am not ashamed to admit.