- danganronpa
Danganronpa was leaving me speechless throughout the whole playthrough, as well as a good few days after I finished it. In fact, I remember having to complete one of the twists in the trial to settle my thoughts down. Its sequel is doing the same thing, and I'm only on chapter 5 now (and one of my favourite characters just died). Although, it's the same with a lot of these mystery games (Phoenix Wright to a lesser extent as a lot of the characters don't mean much as they only appear in one case, but, as with Danganronpa, some of the cases can plague my thoughts until I finish them).
For some reason, I can't think of any exact examples now, although, games with melancholy endings tend to stick in my mind quite easily. The general 'and everything went alright from then on, until the possible sequel' isn't really memorable except in a few circumstances.
Hotline Miami had a pretty cool ending if you like looking into the subtext of it.