hmm... games that left me with sadness when I was done.
999 -- moreso than VLR. With VLR, I knew what was coming next. At the end of 999 I had the Alice mystery and one of the most amazing endings ever.
Alundra -- I've never played a final dungeon in an Action RPG more worthwhile than Alundra's. I want a sequel to THAT dungeon (the Lake Shrine). For real.
Chrono Trigger -- Not so much now, but when I was a kid? After I found all the endings, I wanted there to be MORE endings, but there weren't. I'd done it all. When I got the DS version and played out the extra ending (that explains in a retcon way how Magus = Guile), I was both pleased and dissatisfied.
Lunar 2: Eternal Blue -- the epilogue scenario and that satisfying ending. I wanted more. I wanted it to morph into a Sim game to repopulate earth (with ALL kinds of life, not just humans, pervs!). Extremely satisfying.
NieR -- the happiest of all possible endings still basically means humanity is over as we know it. So that's depressing. And then ... yeah. Everything. Kaine with endings B-D, hearing the other voice, learning everything ... oof. So perfect, so sad.
Persona 3 (Portable) -- playing as a female protagonist, and then that ending after all those S.Links, it did something to me.
Shadow Hearts (3): From The New World -- I don't care what ANYBODY ELSE says. This game was great. I loved it. And the end battles with "Lady" -- when you know who she is and what she's done, and what you're "left" with having to face ... it weighs on your heart.
Star Ocean: The Second Story -- I think the ending music "We Form In Crystals" really got to me. I wanted there to be a third planet to travel to or something. I needed more.
Vagrant Story -- I start crying when Sydney gives his final speech. The tears crank up during the tree/hill/family sequence (disc 2 track 24 "Truth" on the OST), and the tears never stop, straight thru the last battle, and into the ending. This game makes me cry, and I want to cry more just thinking about it. Good tears.
Ys (I &) II -- The ending of Ys II, paired in juxtaposition with Ys Origin, is just so painful and depressing. The "living art" of Ys II Chronicles especially nails me. Just ... that image. If you know, you know.