X-com: Ufo defence. Your soldiers start out completely useless, pre-generated names with no equipment or stats. You name them, train them, equip them, take them out on missions, narrowly escaping death, and they progress.
Then, when the time eventually comes a soldier you recruited at the start of the game who proved himself an invaluable asset and a memorable name is eventually perma-killed by a single loose plasma bolt from a sectoid. Trust me, it's genuinely saddening to embark on a mission to try and defend a city, then having the majority of your squad turned into zombies by Chrysallids, with only a couple of them surviving to flee back to the base.