Red Dead Redemption made me feel lonely after first landing in Mexico. Arriving in a foreign, sprawling wilderness, on a mission your character didn't want to be on, not knowing if I was ever going to meet a friendly soul. It really reached me, which I assume is why they chose that moment for the melancholy music. However I'm very aware everybody here probably experienced the exact same thing.|
SotC is a masterpiece. It's because of the incredible isolation that I've never been more effected by a videogame 'death' than Agro's (I thought it was a shame they decided to bring him back, actually).
The very first game to make me feel alone was the original Doom. The effect's not there though when playing it nowadays.
Spoiler tags probably superfluous for these games, I know.
2600, SMS, MD, GEN, 32X, MCD, Saturn, DC, NES, Famicom, SNES, SFC, N64, NGC, Wii, PS1, PS2, PS3, PS4*, Xbox.