The saddest game scene I have ever seen in a game would have to be from Heavy Rain.
Basically Ethan Mars has to go to the mall to go shopping with his wife and kids. While his wife and youngest son go to try on shoes, Ethan is in charge of watching Jason.(His oldest son)
Ethan loses track of Jason and has to find him again in the crowded mall. Ethan finally spots Jason carrying a red ballon outside about to cross the street. A car comes just as Jason crosses the street, so Ethan jumps in the way and tries to maneuver his son to the other side of him so he wouldn't get hit by the car.
But things didn't turn out according to plan and Jason ends up being hit with the car instead. The last thing you see of the shot is the red ballon he has being into the air.
After that dramatic scene Ethan's life gets even worse, his wife divorces him, he loses his architect job, and he has to live in a small apartment because he couldn't afford to pay for his old house.
It was a very sad game, but it ended up being one the best games out there.
