The Ending of Force Unleashed.
You've played as the Secret Apprentice through the entire game, seen him face his demons, and in the end, watch as he attempts to kill Palpatine with a suicide lightning attack. What made it so sad were two scenes.
1) Vader looking down at him for a moment, then shaking his head, saying...
"He is...Dead..."
With such sadness that you can tell he has lost all hope of being free from what he became, and
2) Juno (Your pilot/love interest) standing alone on Kashyyk, looking up at the stars, when your second mentor, Master Rahm Kota, walks up beside her, starting a conversation...
"You knew who he was all along, didn't you?" (Juno)
"Maybe I did."
"Then why did you help us?"
(Master Kota pauses, then responds)
"When I saw him again on Cloud City, I saw anger, fear, and darkness in his heart. But in the midst of it all, I saw one beautiful, shining thing."
"What was that?"
(Kota looks at her for a moment)
"You."
(He walks back inside, as Juno looks at the stars shining above her...)
So sad, and so... touching...
PROXY's death is also sad, because he dies defending you, and he has mimicked the appearance of Obi-Wan, Vader's old master...