It's only sad because it's over
a.k.a - Games that emotionally gut-punched me, to varying degrees
a.k.a - I was thinking about Steins;Gate again
Sometimes it's intensely sad, sometimes it's the culmination of a story I've been following for years, and sometimes it's the most heart-warming of things, but it nearly always involves the perfect soundtrack and always completely destroys me for a time afterwards.
Games are good, these ones have that mix of storytelling or specific moments that really got to me.
(List ongoing, and not actually ranked)