The ending of the original Another World was hearbreaking enough. If you hoped the game will conclude in Lester successfully finding a way back home, your hopes will be utterly crushed. Not only that, but in final scene, the main hero gets seriously injured, is possibly dying, and uses his remaining strength to save himself along with Buddy, the latter carrying him away on a back of a flying beast. The sight of Lester flying away, his fate uncertain, only emphasizes the hopelessness of his situation.
Buddy comes back for him and uses a special coffin to cremate him. He makes sure to remember his sacrifice by having his grave on display. Buddy seems to be especially grateful to have had him around.