Hoo boy where do I start?
I guess I'll go with Tales of the Abyss first:
Watching Akzeriuth's destruction and it's aftermath where you see an injured, but alive boy be claimed by the poisonous sludge of the Qliphoth. Way later in the game, you see citizens of Sheridan being cut down when they try blocking the Oracle Knights from seizing the main party. Two important secondary characters that had helped you prior to that sequence slowly die from their wounds. =(
Oh and again later, Ion dying leading to a final battle with Arise against Arietta.
Tales of Symphonia has a number of moments of sadness, but this is what I remember:
1) Seeing Presea and the condition of her house and family after originally meeting her.
2) If you chose to have Kratos join you over Zelos, you end up having to slay Zelos later. His final scene is pretty sad.
3) The reason why Mithos fought so hard in what he believed in is sad because he wrongly interpreted what his sister wanted. If he had understood things better, he wouldn't have gone down the sad route until his end at the hands of Lloyd and the others.
Soul Blazer's ending:
After you leave back to the heavens, Lisa waits and wishes that you may return to the earth someday. Years later, you give up your immortality and all of your memories to become mortal in order return to the earth to fulfill a promise...