#1: THE MYSTERIOUS MAN:
The strange man doesn't seem to be entirely human. He knows a startling amount of John's personal history despite John having no recollection of ever meeting him in the past, and John repeatedly asks who he is, and how he knows John, but the man always avoids the question. In his last encounter with John, he is seen standing by a tree overlooking John's ranch at Beecher's Hope. He cryptically tells John that it's "a beautiful spot". In the Playable Epilogue, it's the excat spot that John, Abigail, and Uncle are buried after the US Army's attack on the ranch.
And even more. When John actually loses his temper and shoots at the man... Nothing happens.. It's as if he is incapable of dying.

JOHN MARSTON: DAMN YOU!

STRANGE MAN: Yes, many have.



#2: RANDELL FORRESTER:
Course, it sort of loses its edge when you whip out your double barreled shotgun and kill the cannibal without him even putting up a fight. That line's genuinely creepy, though...

"Fella's got to eat. Fella's got to eat!"


#3:
An old woman begs you to find her fiancee. You ask around and discover where he is. Simple, right? Wrong. Turns out the man is dead and buried, his tombstone reading that he died from a concussion. Even weirder. The guy's been dead for twenty years.. Either his fiancee has totally lost it, or she's dead too, and this whole time you were talking to a ghost.


#4:
You do a innocent mission of getting some flowers for a old man, to celebrate his anniversy.
All sweet and heartwarming till you find out, he is keeping her decaying corpse, and believes she's still alive.. Easy to say, John was uncomfortable.


#5:
The mission "Spare the Rod, Spoil the Bandit". When you finally shoot off the wood that's keeping the barn door closed, there's a cutscene of a naked body swinging on the barn rafters. Worse., There is a woman in there, so she spent who knows how long, terrified with the naked corpse of her friend/relative before John and the deputies could reach her. After the ordeal, you see the surviving women, huddled together and they're traumatized, their faces are bloodied and bruised and their shirts are torn... And what makes that whole mission even worse? Those three women you save are the LUCKY ones! Everyone else is either dead, or tortured / raped AND dead. They are the only ones you were able to save, possibly after they themselves have been tortured / raped, and you almost didn't even manage that! Try not to think about how often something like this may have happened in the Real Life old west.


#6:
The mission "Hanging Bonnie MacFarlane". Title pretty much speaks for itself, but John enters the Marshal's office where Drew is present and terrified as Bonnie has been kidnapped. A gang member then rides by and threatens the Marshal to return one of their imprisoned gang members, or his group will "let out all their anger, and their loneliness" on Bonnie. Shudder. Luckily John and the others will arrive in time before they seriously harm Bonnie, but as you save her from being hanged her clothes are torn and she's covered in bruises, meaning they still gave her a beating. She appears to recover quickly (seeming fine when you meet her again several weeks later), but had it been more realistic Bonnie would probably have needed a lot of time to recover from the mental trauma.


#7:
When you take into consideration the games overarching theme of the progress of civilization, John and Jack's conversation before the last mission about airplanes being machines that can "turn men into angels" takes a much darker tone when you realize that airplanes aren't the only machines mentioned in the game that make men into angels. Guns do too.


#8:
Being attacked by a bear..


#9: UNDEAD NIGHTMARE:
From a group of undead devouring a pile of corpses, civilians transforming right before your eyes, deranged cannibals who invite you for a "bite" and turn their guns on you if you decline, and more. One of the more disturbing ones is coming across a sobbing man sitting next to a dead man, likely a friend or relative. The dead man rises as an undead and the living man is forced to shoot him... Right before turning the gun on himself.


#10: UNDEAD NIGHTMARE:
Related one..
Also counts as depressing.
Those people that say "thank the lord, I thought you were dead", to the zombie of their lover or family member.. Espically if you don't save them.