I mostly play Nintendo games, so these aren't as disturbing to some people, but...
Bowser's death in New Super Mario Bros. The guy's skin literally melts off after he falls into lava, right while he's conscious. That's pretty messed up on its own.
Hollijolli Village and Toad Town in Mario & Luigi Partners in Time. Okay, most of the game really, since it has alien invaders captured the Toads and using their souls for spaceship fuel. And the former gets attacked and blasted to pieces on Christmas Eve, all while a sad version of jingle bells plays in the background.
Just about the whole Shadow Temple/Bottom of the Well in Ocarina of Time. Hyrule's dark history of greed and hatred indeed...
For fan works, this Mario RPG sequel has a disturbing death scene:
It's basically Ocarina of Time meets GTA.