There isn't much that is genuinely sad in gaming, the CoD: Modern Warfare 2/3 story lines are more like a joke so they can shut reviewers up.
I'd say that the endings to games aren't very sad, just aggravating because you know that the writers could have done so much more to give a more satisfying ending to a game **Read Dead Redemption**
Final Fantasy X can make you a little sad when you discover that your journey was _____________________________
Then there's all the other games with their multiple endings (Heavy Rain/Mass Effect), I don't think that those should really count in this discussion, but the bad endings are usually more entertaining than the good ones.