John Marston's story in Red Dead Redemption just so bleakly unfair that it feels so wrong to watch him betrayed by the government and shot to ribbons.
The fact that the game lets you think you can outshoot the mass of men in front of you makes the situation even more impactful. You believe for a moment that John might actually taste freedom.
It's also a death that makes the story make sense. Up until this point, you're led to believe that you're redeeming John's name through his actions, but in fact it's only through his death that his arc can truly close. Plus he's a character that you grow to love and as such saying goodbye was never going to be easy.
It's almost a shame to carry on the game playing as Jack, not only because he's immediately foreign to the player, but also because his quest for revenge undoes the clean slate that his father had bought with his passing.