Can't beat Planescape:Torment. I don't know how to do the spoiler tags, but given the game is 12 years old I figure most people will be fine with a 'spoiler' warning. Not that it's really a spoiler, as it becomes clear quite early what you're going to have to do...you just don't really have the motivation or the means to follow it through until you solve the games very very deep rabbit-hole of mysteries.
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I'm talking, of course, about the fact that you don't save the world - even on the good ending, you die and go to hell for near-eternity. The hard part is that you start the game immortal (if you get 'killed', you regenerate and climb back out of your grave at the mortuary), and are 'relearning' skills that you've forgotten due to amnesia, hence allowing you to rise to god-like power within the D&D universe. The catch is when you find out what is powering your immortality, and what it is doing to (a) various innocents (each time you revive, someone else gets taken in your place), (b) the world in general (some of your past incarnations have been good, but others have released horrors onto the world, and others have BEEN horrors, the aftereffects of which you encounter at various times through your journeys as you find that you've retraced these steps before...and the number of former incarnations that made it that far seems to drop off the further along you go), (c) your party members (your curse brings torment onto those in proportion to your connection to them), and (d) yourself (some incarnations have left clues, tattooed into your body to help you, others to mislead you and at least one was setting up traps for you all those regenerations ago...but there's also another part of you that doesn't want you to lose your immortality, that is trying to imprison you so that you must stay immortal, slowly going insane all the while).
Given that, dying and going to hell end up being a pretty good victory. The real consequence is what happens to your companions, who by the time of the final encounter (or, on the good ending, the final dialogue where you use your maxed out charisma/wisdom/intelligence to convince your mortality (The Transcendent One) to merge with you (The Nameless One) allowing you both to die) have all been killed one by one, by the TTO. On the best ending you can use your final moment of power to resurrect them all, and have one last conversation before dying (the irony being that the only companion to not yet be condemned by the curse of Torment then receives it, by vowing that she'll forever follow into the hells to find you). Otherwise you get to resurrect one party member (two if you choose to resurrect Morte, in which case you find out the floating skull was just...pretending to be dead

) - with an extra goody if you choose Vhalior, with his axe that scales depending on the injustice being faced, you can finally tell him the truth of what is going on and he turns superhuman (well, 'more' superhuman) and wtfpwns TTO. A nice touch given that on an evil playthrough, the TTO tries the exact same trick on you, explaining to Vhalior exactly who you are and what you've done, so that Vhalior becomes capable of perma-killing you in the one-on-one fight you have after your other companions have been killed off. Or you can try to hold onto your immortality and become a very disappointed selfish mortal that was, for a period, elevated above his natural state as you end up in hell anyway.