Persona 3:
Shadow Of The Colossus:
Shinjiro Aragaki and...Y'know...YOU. Shinji was my second favorite character (Koromaru still wins there), and he was just a badass character. One of the few whiny ones, and they kill him. And you, the main character, after all that work to save the world, die in the end. Still aggravated that I did all that for nothing. Of course, it is my fault for getting the Special Edition and finding out that you actually die, and not just fall asleep.
Shadow Of The Colossus:
Agro. I mean, technically, she doesn't die. But for that brief moment before that final battle, my heart was torn out. The one constant companion for you in that world, and Team Ico has to "kill" her off at the end. I actually cared more about the horse than I did the Wanderer.