I suppose in saying worst, I mean in terms of pain and understanding.
Example would be mine, Knight Artorias, who sacrificed literally everything he had to protect the kingdom he had sworn to defend. Except eventually he failed, was consumed by the dark, and was later on (hundreds of years) killed by you as mercy. The whole world thinks that he retained his honor and drove the dark away, but he failed... and no one else but you and two others know of this.
After I pieced it together I felt horrible, because no one deserves something like that to happen to them, ever. Dark Souls is a tale of sadness and suffering, but that sort of crossed the line for me. Even though I knew it in the first place, it's a different story to see everything crumble around an individual when even their very best is not close to enough to uphold your beliefs and protect those who are putting their very lives in your hands..
Artortias dealt with that.
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I would have to say the death of both Aeris and Zack in Final Fantasy VII and Crisis Core are a downer for most gamers, mostly because they never got a chance to say goodbye to each other and because they were so close to being reunited. At least they reunited in the afterlife though :/