hmm, You said games, though I doubt anyone has heard of the Xenosaga series.
Aoi Uzuki's death was really sad in that game (Xeno 3), because she died asleep on her hospital bed, by these monster human-like things stabbing her.
The depressing part about that death was that her daughter, a little girl, was under the bed, an unnoticed witness. After the things left, she tried putting the blood back into her mother, hoping her mother would be 'fixed' / ' alright'.
Sad. o__o
Also sad was Gaignun and Febronia's deaths, but I'd have to explain the story to elaborate.
Anyways, I guess the saddest of all might be Itachi's?
I feel embarrassed saying this, but both in the anime/manga, tears ran down my face as he did that last walk/plus during Madara's explanation.
After seeing it once in anime, I had to watch it again right after.