Drakengard/NieR come to mind. Drakengard games and their multiple endings are usually just choosing how the main characters will suffer instead of entirely avoiding it. Nier games use endings as almost chapter markers but once you get to the later endings it's much of the same.
Though imo it's more immediately worse in Drakengard (The best ending in Drakengard 1 would be the worse ending in any other game) if you look at extended stuff in NieR, you can see how much of the hope you see in those last endings end up being in vain. If you are a main character written by Yoko Taro you're just fucked and you're life has a 90% chance of dying in tragedy. Gameplay can be hit or miss for a lot of ppl tho