Just a random selection of ones that quickly came to mind, since I've been affected by so many.

MGS3

(SPOILER)Fighting and executing The Boss.

Danganronpa 2: Goodbye Despair

(SPOILER)The execution of Peko, and Fuyuhiko's near-fatal wounding in his attempt to stop it.

SOMA

(SPOILER)The many deaths of Simon Jarrett; first listening to him die of brain swelling in 2015, then mercy-killing his first brain scan, and finally watching his second scan condemned to die alone at the bottom of the sea.

Valiant Hearts: The Great War

(SPOILER)Emil walking to his execution while his last letter to his daughter is read in the background.

NieR: Automata (SEVERE SPOILER)

(SPOILER)2B! The main character of the game getting traumatized, shot down, infected with an agonizing logic virus, and finally mercy-killed with a smile to her truest friend. Damn you, Yoko Taro.