Two that really stick out:
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Final Fantasy X, the ending when Yuna rushes to hug Tidus and falls through him because he's starting to fade.
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Life is Strange Before the Storm. (Spoilers) The ending with the camera flash. I played the first game. I knew Rachel died. But I lost myself in "this" game where she's alive. Forged a wonderful romance with Chloe and everything. I remember it was like 3AM when I finished the game and when it faded to the shot of Rachel's phone sitting on the table with tons of missed calls and the camera flashing in the background, I just involuntarily blurted out "Oh FUCK YOU!" It was a painful reminder that no matter how happy you make her, she dies in the end.
There are people around here that would try to hit it on purpose, :-(