Kind of dumb, but the ending of Final Fantasy 13-2. You go through all of this work and side quests to finally see if you've fixed time, then Serah supposedly dies. What made it worse was that it started off as a happy ending, then it rapidly gets dark and that happiness goes away pretty quickly. Maybe I felt disheartened because I spent a long time playing that game over about a year or so (with several month breaks in between), so all of my work kind of fell apart more or less.
I haven't played through the alternate endings yet, so I cannot say if those are any better.