Odin Sphere hits you twice with the deaths of Ingway and Mercedes.
Ingway is turned Darkova and controlled by the sorcerer. Cornelius is forced to kill him.
Mercedes dies after defeating King Onyx while the land of fairies burns to ashes. Right before the end, she remarks that she is useless after all, which isn't true as her halting Onyx from going further means that the world is able to regrow after Armageddon, to say nothing of what will grow in the spot where she died, but she doesn't ever get to realize that.
For her it begins even before the boss fight, as she is flying through the burning forest begging for any one of her subjects to still be alive and answer her call. And then she finds Ingway's corpse...
If you go for the bad ending by pitting Mercedes against Darkova, they just twist that knife.
The good endings are painfully bittersweet. The bad ones are even worse and usually without the sweet.
Scenes from earlier in the game such as when Oswald is about to commit suicide out of hopelessness or when Velvet shows Ingway the second half of their mother's note are guaranteed to make you cry.
When Velvet is taken to be executed, the phantom blue bird tempts Gwendolyn with the prospect of letting it happen so that she can be Odin's only daughter and no longer have to compete for his affection. Gwendolyn responds "That's true...if she were only gone...", pauses and then immediately rejects this idea in favor of saving Velvet. The pause is almost as if she was remembering having similar thoughts about Griselda...and how horribly it felt when she finally was gone.
Almost every single boss battle in the Bad Ending. You have to play through every combination in order to unlock the last scene and find out what happened to Cornelius and Velvet. Notable examples:
Cornelius versus Gallon, where even after defeating him, King Gallon keeps regenerating and explains that he can't be killed because of a curse placed on him in the Netherworld, and proceeds to swallow an exhausted, broken spirited Cornelius whole.
Somehow made even worse by Gallon's revelation that he now experiences all stimulation as pleasure, meaning the horror and grief he will experience from killing Cornelius, his grandson, will simply make him feel even better.
Oswald versus King Onyx, where Onyx provokes Oswald into a rage that makes him try to use his Shadow form too much too quickly and he transforms into a mindless Revenant (i.e. yet another shadowy victim of the Belderiver) who wanders off groaning Gwendolyn's name.
Mercedes versus the beast of Darkova. She manages to break the transformation, turning him back into Ingway, and confesses her feelings for him before dying in his arms, leaving Ingway to scream despairingly for the heavens to strike him down.
Not mentioned as much, but if you pit Velvet against the Darkova. Before the battle Ingway begs for Velvet to kill him. After the battle, he's absolutely delirious as he lies dying and asks that Velvet let him rest before passing on. Velvet dies moments later, but not without words that tug at one's heartstrings.
Velvet: Go to sleep Ingway. You won't suffer anymore... Let us go to our mother, together. The three of us, together... Just like before...
To a degree, Gwendolyn versus Onyx. It starts off with a jilted, jealous, and enraged Onyx unleashing a brief but puissant "The Reason You Suck" Speech on Gwendolyn, starting off their fight. Even if you win, it's revealed that Gwendolyn dies in the fight. Onyx commands his Vulcans to leave and do as they please, while dragging his battered form over to Gwendolyn's body. Now apparently heartbroken, he mourns the fact that, as the personification of fire, he always destroys that which he treasures most, and vows to hold Gwendolyn until the end (which, thanks to the fast approaching ocean, is probably mere minutes away).
Doubly so when, upon realizing that he killed Gwendolyn, Onyx lets loose a horrified "What have I done?!"
The Bad Ending, called "The False End", where you see Myris standing on what was the peak of Horn Mountain, only the oceans have risen so high that almost the entire mountain is underwater, and as "the last piece of land in Erion" crumbles beneath her, Myris prays that someone she loves will be spared and cries out, "This is a terrible ending! Who would wish for this?" before burying her face in her hands in grief and the screen fades to black...
Even Mercedes's good ending can count as one because she dies believing she failed. It isn't until she reveals her true name and the Oh, Crap! from Onyx that the player gets tears of joy instead, made better by the reveal that the World Tree grew from the spot she died in after the credits, which Leifthrasir confirms to be her reincarnation in an additional shot where one of the tree's roots reach to the Netherworld to retrieve Ingway, with Mercedes' trademark white flower blooming on it.
It's noteworthy that she is not only the only playable protagonist that dies, but that she is the only one who isn't mourned by the surviving characters (Gwendolyn, Oswald, Velvet, and Cornelius.) The only noteworthy character outside Ringford that she made friends with was her lover Ingway and he ultimately died as well. (In his case, he at least had Velvet and Cornelius to remember him.) And she's not alone, as her entire race shares the same fate. All fairies, like in real life, have passed on into myth and legend.
Odin's death at the end. The once mighty king, now a broken old man, has to watch as his entire kingdom falls apart around him. As the Halja surround him, he sees his daughter Griselda's ghost appear before him. Odin spends his final moments apologizing to his daughter for not being a better father and embraces her one last time. Then the Halja strike...
Oswald, after Melvin's rebellion fails and his strength is waning, learning that Melvin never really cared about him and only saw him as a tool for him to become king, and was even willing to sell his soul to the Underworld to make that happen. No wonder he just gives up when the Halja come for him a second time.
When Oswald, recovering from his fight with the newly hatched Leventhan, discovers that Gwendolyn gave away the ring he had given her as a token of his love. Poor Oswald is so heartbroken by the rejection, he can't even be bothered to try and fight off the Halja that comes for his soul a few minutes later.
In the best ending of Leifthrasir, the end card showing the World Tree changes to reveal that Ingway ended up in the Netherworld after he died. He deserved it, but you still can't help but feel bad for him. At least there's the hopeful note of the World Tree's roots having reached him and blooming with a familiar white flower, as though Mercedes is going to pull him out so they can be Together in Death.
Mercedes's coronation as queen in the manga is bittersweet. Although she's suppressed Melvin's rebellion and gained the full support of her people, she realizes that nothing will ever be the same for her again and, once she's alone, breaks down sobbing.
