I think the saddest video game death for me was at the end of Lufia II: Rise of the Sinistrals (and at the very beginning of Lufia I)when Maxim and Selan died.
The thing about it, in that respect, was the game was totally fatalistic about it because in the first Lufia you played the characters from Lufia II (Lufia II was a prequel of the first one) at the begging as a prolog of the first game that went through what would become the ending sequence to the second game. Everybody knew what was going to happen and it was no secret. The second game was Maxim and his adventuring with his team up to that point in the defeating of the Sinistrals. You start out the first game as a descendent of Maxim. (I think as his grandchild or great grandchild, but I don't think it's even been totally confirmed in the cannon.)
Still even knowing it was coming didn't make it any better. (I would normally say that knowing about what happen before hand with something like that in a in a game like that would also ruin it, but the producers of the game really pulled it off and did it well.) Maybe it was the fact that you got to know the characters in the second game better, and the plot of both games was good, especially for the era and the system limitations. In fact more was added in at the ending of the second game you didn't ever get to see in the prolog of the first game that made it even sadder and even more memorable. At the prolog of the first game it ended with Maxim's wife Selan dying in the final battle and him getting separated from the his other two teammates and being unable to teleport to safety with them while the flying fortress they were on was coming apart. I won't give too much away incase somebody ever wants to play the game that didn't get to play it before, but in the second game we find out that wasn't the end of it and while Maxim did die, as everybody knew, he had to do one last task to sacrifice himself to save even more people before he did it that wasn't revealed in the first game and wasn't known about.
The ending credits and the sequence going on during them was one of the best ones I can remember, especially for an SNES game. If you ever get a chance to play both Lufia games or even just the very beginning of the first one and the second one I recommend you do so. There is some puzzle aspects to the second one that might not be to everybody's liking, but I didn't mind them. The two Lufia games are highly underrated, especially the second even if they are old now, and are worth playing, especially if somebody is a fan of RPGs from the SNES days.