I haven't played many of them tbf, but the scene in FF X where Sin destroys Kilika and then later when Yuna performs the sending are the darkest parts of any Final Fantasy that I've played, in that both of those parts have stuck with me in a big way. The opening for Type-0 was also pretty violent from what I remember, but it didn't really impact me in any big way because I couldn't make sense of what the smurf was going on.