Saddest and most depressing games you ever played.

Unreal 2 The Awakening had a pretty sad and depressing ending. Otherwise, the obvious choices: the 2 Metro games, the S.T.A.L.K.E.R. series, The Max Payne series(even the third one which is in fucking Brazil), Spec Ops The Line, Bioshock and Bioshock Infinite, The Suffering series, Half Life 2 and...surprisingly, Grand Theft Auto 4. Poor Niko, what a bullshit life he has, in a land where he hoped to start a new life with a cousin that he trusted and loved unconditionally, but which turned out to be a total dick-wad...

life bro. this crazy game called life. shittiest roguelike ever.

Every Final Fantasy title at some point.
Braid.
Dead Space.
I Have No Mouth And I Must Scream.
Metro 2033.

To the Moon - super extra very sad and well written. The Walking Dead - devastating ending, and much more. Spec Ops: The Line.

To the Moon - super extra very sad and well written. The Walking Dead - devastating ending, and much more. Spec Ops: The Line.

To the Moon - super extra very sad and well written. The Walking Dead - devastating ending, and much more. Spec Ops: The Line.

To the Moon - super extra very sad and well written. The Walking Dead - devastating ending, and much more. Spec Ops: The Line.

The Max Payne saga, especially the first one, has really sad moments, and a hell of a story, loved those games.

To the Moon - super extra very sad and well written. The Walking Dead - devastating ending, and much more. Spec Ops: The Line.

Not super sad or depressing, but Thomas was Alone is a great game with a bittersweet ending.
The Bit.Trip saga as well, though the whole thing is only available for Wii atm, and it takes a lot of effort and/or some internet searches to understand the story.

Echoing The Downfall/Cat Lady recommendations, and some freewares in a similar vein:
Donna: Avenger of Blood and The Kite

No one mentioned Max Payne 1 and 2? There's not a single positive moment in those games, they have really dark atmosphere - it's always night and it's either raining or snowing, important characters die all the time, the story involves drugs... Max Payne is like the definition of depression.

Chains of Satinav. Everytime you think it has to go uphill now, it just becomes even more depressing.

Thomas Was Alone.
Portal 2.

Silent Hill 1 for the Playstation. There was more than one ending available, but even the "good" ending ended on a sad note. I won't spoil it for you.

heavy rain, first play through and i got the worst ending :(