If you are interested in the (TRUE) story of Hugh Glass, I suggest listening to episode five of the Dollop, which gives you the whole story. Hugh Glass' life was FUCKING INSANE, y'all.
Also if you like Tinker Tailor Soldier Spy you should probably also check out A Most Wanted Man.
The obvious answer to your question would be the end of MGS4, really--crawling down that hallway is a brutal sequence that managed to get to me playing it even though I knew how it ended (similarly, so did MGS3's final fight). Similarly, I'll add another nod to Kentucky Route Zero, which has a feeling of loss and decay--but a beautiful kind of decay--all to its own.
A less obvious answer would be, I think, Pathologic. Everything from the atmosphere (brown, rainy, terrible) to the controls (your walking pace is pretty goddamn sluggish, although I think the HD edition might have you move a bit quicker? I don't remember) to that absolutely oppressive and at times otherworldly soundtrack contribute to a feeling of creeping dread as you rummage through dumpsters looking for empty bottles to sell to drunks for bandages. Every time I play that game I feel myself growing more worn down and exhausted and hopeless. It's deeply unpleasant, but in a way that demands you keep playing it, if only to continue to grasp at the hope that you can solve this problem, somehow.
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