Ocarina of Time's ending is incredible . . .
The end of Twilight Princess never fails to leave me heartbroken and morose. 'Devastatingly final' is the only way to describe it—with Midna leaving forever, you know Link's life will never be the same again. So much so that he leaves behind everyone and everything he's ever known, disappearing to who knows where.
Everything prior to that is portrayed with subtlety, and from a storytelling point of view I find it really interesting that they were able to do so much with it. Even though the characters were not 'together', it is strongly implied that they wanted to be, so even though Ganon is defeated and the good guys win, the end feels very tragic. When the love of your life decides they can't be with you, even if it's for a good reason, it's not an easy thing to live with . . .
Actually, I know very well how true that is, since last year I had a doomed romance that ended in a similar way to that shown in the game. I've been in quite a bad place for months because of it. It is very difficult for me to get through the end of TP, because I know what's coming and how it's going to affect me even before it happens. However, since I have much more of a crush on Midna than I should (lol), that was true even before any of the real life stuff had happened.
I finally started playing TP again for the first time in a long while. I haven't been able to face it until now; but it's such a good story that I keep coming back to it, despite everything.