This thread seems custom made for spoilers, but I'll try to jeep them to a minimum:
1. Silent Hill 2 - I know this an odd choice because the game has multiple endings and almost all of them are bittersweet and/ or depressing, but there's one ending that was extremely bold at the time and thematically appropriate so I give it a lot of credit.
2. The Legend of Heroes: Trails in the Sky 2 & 3 - If you like extended JRPG endings with tons of fan-service and feel good moments, these games are for you. Hell, the whole series tends to do endings right.
3. Shadow of the Colossus - This was amazing at the time.
4. - KotOR (dark side ending), Baldur's Gate 2, Alpha Protocol, certain Dragon Age games, certain Suikoden games, Dragon Age 8, Fire Emblem: Three Houses, Deus Ex 2 - Really, anything that lets you embrace your power fantasy and lets you become a God King/ Queen or build your own empire. Silly stuff, but it's incredibly fun and cathartic.