Depressing/melancholic/grim games advice list:

ACTION

Demon’s/Dark Souls
Dishonored
Spec Ops: The Line
Dead Space
Kane & Lynch 2
Hitman Contracts
Cry of Fear
Call of Cthulhu
Condemned
E.Y.E. Divine Cybermancy
The Suffering
Manhunt

ACTION/ADVENTURE

Silent Hill
Thief 1-3
Pathologic (Мор. Утопия)
The Void/Tension (Тургор)
Shadow tower
King's field
Shadow of the Colossus/ICO
Fatal Frame series
Haunting Ground
Rule of Rose
Darkwood

ADVENTURE

I have no mouth and I must Scream
LIMBO
The Stanley Parable
Portal
The Path
Darkness Within
The Cat Lady
Downfall
Sanitarium
Scratches
Fahrenheit
Heavy Rain
Penumbra series
Lone Survivor
Papers, Please

SOMEWHAT GRIM

Lugaru
Earthbound
Legend of Zelda: The Majora's Mask
Escape Plan
Out there
Actual Sunlight
Fragile Dreams: Farewell Ruins to the Moon