When the camera pans over John's son (can't recall his name) standing over the grave of his parents with that song playing, dude. Also, Deadman's Gun over the credits was pretty fucking depressing.
After spending the entire game up to that point searching for your father, the sole reason you left the safety of the vault in the first place, he dies.
I'm sure there are more, but I can only think of those four.
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