Mother 3. ALL OF IT. The whole game is depressing. I can scarcely list all of the reasons, but here are a few.
[spoil]First, the fact that Hinawa dies is a pretty big shock. But after that happens, sunflowers which symbolize Hinawa, become more and more common over the course of the game, like it's deliberately trying to make us all depressed. The funeral scene with Lucas is another example of how depressing this game can get. Just watch that scene, and even out of context it sums up the game perfectly (as well as gives the player a sense of unease pertaining to what comes next).
Over the course of the game, the townspeople of Tazmily go from being helpful to one another, to being as corrupt or moreso than the mayor of the town. Lucas gradually loses his friends in the town, as they start chastizing him for not getting a Happy Box, and they even rebuke Flint for still looking for Claus, who they haven't found yet, when they would've helped him back when Hinawa died.
Toward the end of the game, Claus comes back as the masked man, and Lucas is forced to basically kill him (Claus does himself in after realizing what he's done, but it still feels like you had a part in it).
Then, there's the ending, which I have a controversial theory on. Lucas has had a tough life. He lost his mother to an otherwise friendly drago, he saw his hometown turn corrupt and the people basically turn against him, and on top of that, he watched his own brother die in his arms, all the while everyone around him seemed to care only about him pulling the needles and not about how he felt regarding the situation (except Flint, who actually did spare him a thought). With all that pent up grief and frustration, he pulls that last needle, and does the unthinkable.
The world is destroyed and everyone is killed. Yeah, destroyed, ended, gone and not coming back. My theory on the 'END?' screen is that it's supposed to be like Heaven or Purgatory (more likely Purgatory, given how everyone acted toward Lucas over the course of the game). This explains why you never see where they are. Since nobody knows what Heaven or Purgatory looks like from even a Theological perspective, there'd be no way to animate it in a game. But I do like to imagine that even in a place like that, he found some semblance of peace, and maybe he got reunited with the spirits of his mother and Claus.
I did hear somewhere that this was Shigesato Itoi's original plan for the ending of Mother 3, back when it was called Earthbound 64. If that is indeed the case, then it would make sense that this was also his intention for the ending of Mother 3.
It's for these reasons, as well as several others, that Mother 3 is the most depressing video game I've ever played.[/spoil]