Are we talking about Bad Endings or more involved Game Over screens?

In terms of Bad Endings, Persona 4, BoFII, and the Suikoden series know how to punish you for making bad choices to get their bad endings.

In terms of you died and now here's your Game Over screen, I don't think anyone really beats MegaTen on this one...







Of course the best one which serves as both a special Game Over for dying and serves as an actual bad ending goes to Chrono Trigger.