Sadness can be only be acheived once the tragedy is happening to a likable character, no one cares what happens to a character they don't care about. Then you have to make players LIKE that character, through actions and dialouge. If you plan on killing off that character or having something happen to them, at least make it live in the moment.
If you play down the scene with humor or something unrelated, the angst of the moment is lost. Play the right music, convey the right emotions on the characters involved within the scene and give it a hopeless tone.
E.G;
Saints row: Lin, what made Lin's death a sad moment was the fact that the protagonist tried so hard to save her, secondly, Lin finally understood her love for another character after it was too late.
Saints row 2:
1. Aisha: Aisha returns from the original game, still dating Johnny Gat, Aisha is tied to a chair in her home by Junichii, right hand man of the Ronin. Junichii says he will not kill her if she cooperates, however she yells out that it is a trap to Johnny and the protagonist to save them, she is then killed with a slice to the neck in an excellent cut scene. In a later scene at her funeral, it is shown how great Johnny's passion for her was.
2. Carlos: Carlos is the first character you meet at the beginning of the game, he's likable in a comic way. 'getting himself shanked just to meet you' Later in the game, the brotherhood capture him and attach him to the back of their car. By the time you rescue him, he is in so much pain that the protagonist kills him, to relieve the pain.
Gears of War 2:
1. Tai: Tai is a pretty cool character when you meet him in the beginning and you grow to like him pretty fast, however he gets captured and when you finally find him he has been tortured, when handed a shotgun he ends up killing himself.
2. Maria: After Dom has looked ten years for Maria, when he finds her, she is screwed up beyond help and he is forced to shoot her.
These are all examples I would personally take a look at, they could be helpful.
" How about a nice, steaming cup of suffering?" - Joshua Carlson