Saddest and most depressing games you ever played.

Heavy Rain

Company of Myself on Kongregate, it's a flash game.

Why would you do that? If you are depressed in real life you have to play positive games - that's escapism 101... be that as it may, the game you are looking for is The Walking Dead...

Serena definitely is a sad/depressing game.
It's short, free and on Steam

：D

Silent Hill 2.

Also, Bastion. Damn, that ending.

Serena (free game from Steam) is also pretty sad and depressing when you think about it.

Link's Awakening DX :(

Outcry / Sublustrum

TO THE MOON. this game make me cry.

Fahrenheit (Indigo Prophecy)

Kana - Little Sister.

Aside from Visual Novels though, I'd say something like Heavy Rain.

Deus Ex: Inivisble War was pretty depressing too, but that's just because it sucked.

Call of Duty:Black (C)Ops, i feeled depresed that i buyed it.

Dragon Age series has a great storyline, you get really pulled in.

Baldur's Gate is also an ##amazing## classic for storyline.

The Walking Dead brought some tears to my eyes at some parts

Cargo Commander and The Cat Lady.

Taletale's The Walking Dead. One of the few games that made me cry like a lil girl.
Mass Effect series came close with emotional impact, just not as 'depressing' but quite moving.

Silent Hill 2. Most depressing game I know of.

hmm... Bioshock. Watching, what was left from Rapture, was kinda sad.

and Bientot Lete - when you'll buy it, it will make you sad, that you spent money on it, lol :P

Spec Ops: The Line will make you think.

Anna is worth taking a look at as well

DEFCON is really grim, if you think about it

Max Payne 1 and 2 aren't exactly happy games either

The Swapper is downright disturbing at times, if you think too much about the main game's mechanic

The Walking Dead by Telltale has to be on this list as well

Sine Mora has some disturbing themes, including genocide and grim time paradoxes

I'm playing Bastion right now, it's got some really sad moments so far. It's a great game.

Excel

Dear Esther and Amnesia Amfp were quite sad. But you had to pay attention to the the story, so no wonder why a lot of people dont like it/get it.
Also Braid. There was always a kind of melancholy in the air, but the ending was straight down sad.

Call me weird but for me it was Katawa Shoujo, I played it and 100% it, let me tell you that I was depressed for a full 2 weeks and a few days after that game.
For me it was the fact that I could equate with the characters, not in the physical way but in the society, feelings and much more, something I want to be but I can't, someone I wish to have beside me but there is no one like that. Those feels...
Well that game left its mark on me and I am happy that I experienced it, I'll never wish to forget it even though those were the toughest 2 and a half weeks of my life...

Brothers: A Tale of Two sons

The Walking Dead Survival Instinct.. I nearly cried ,the first time I saw that graphix :(