Walking Dead's an interesting thing. If you've seen the show, you know it's not much of a spoiler to say that lots and lots of characters die. Yet despite all that the most soul-crushing part for me was reaching town and telling Clem you should give up on looking for her parents. She asks you that question a lot during the game, and even though I'd previously reassured her while secretly thinking they were probably dead, I decided to stop lying then. I don't know if that scene always ends that way, if it can happen earlier or if I just got subtly manipulated into doing it then (I mean it's around the point shit is really hitting the fan and it's looking impossible to do it), but seeing her go from mostly-optimistic-if-shaken child to dreams-crushed-and-grieving feels awful, especially since she shows so much trust in you to have believed the lies in the first place.
There was this other one that was way more unexpected and innocuous, a loooong time ago playing the gamecube version of MGS, where I'd tranquilised a guard towards the end of the game on a catwalk I knew I'd have to come back to. The logical part of my brain said I should finish him off, but I ended up pausing right as I lined up the pistol on his sleeping head. It just seemed too cold. It even had those comic 'Z' trails coming out of his mouth. Anyway, I went through with it but the quick disturbing head spasm and slight pooling of blood really didn't make me feel good about it. There's something about such a quick, blinking moment of death that's almost worse than an aggrandized death/farewell cutscene like Meryl's incident a little earlier in the game. It made me feel awful in the most unexpected way, and without dwelling on it. It was just so mortal, like I was realising it without having to be told.