Shadow Of The Colossus
This one’s another oldie, so I won’t go too in-depth here. The long and short of it is that you spend the entirety of your playtime during Shadow of the Colossus completely in the dark about just how devastating your actions are going to be. You are killing massive beasts under the pretense that it will bring your frozen girlfriend back to life (I am sure that is somehow slightly inaccurate, so someone please boorishly correct me in as condescending a manner as possible).
Every time you kill one of these massive beasts, though, you get this feeling of sadness. Yes, you are proud of the feat you just accomplished, but even before you knew it was wrong, something in your heart told you it was
It is only in the final moments that the true horror of what you just did reveals itself to you. It would probably take me over 2,000 words to tell you exactly what happens, so just watch this stunner of an ending play out for yourself: