That nails it pretty good. What also works is going out - into nature or abandoned places. Sitting at a calm lake watching things rotting in the water, visiting some overgrown industrial ruin...

Has someone mentioned "Spec ops: the line" yet? Starts as a generic shooter but then there is a certain moment (I won't spoil it) which turns it on its head and the initial upbeat feel disappears completely.

Someone suggested Waking Mars in chat. That one looks good too.

Right now I feel drawn to the "The Zone" of STALKER (SoC). Desolate places, ruins, grey sky, howling winds... and then suddenly golden sunlight breaking through clouds and trees... that atmosphere talks to me very much.

Velen/No Man's Land from Witcher 3 would also be a good choice for my mood. A lot of places there look actually a lot like the region I'll be returning to in a few weeks. Not very surprising, since Poland is actually only a few kilometres away.

Sadness and melancholy? I think roguelikes and games with permadeath really nails it. A lot of other games may have heartfelt storylines and all, but this can't compete with the inevitable loss of your character and his world.

Many posters here are listing games that have a downer ending or moments, but I don't think it's what the OP meant. For me, of all the games listed here, the true melancholic feeling was captured only by Syberia. The Black Mirror I may also come close due to its dark and rainy England scenes.

Syberia nails it pretty much in terms of story and atmosphere. Also - thanks! - you got what I'm looking - or rather not looking for. A lot of the suggested games seem indeed to go into the more depressing/down-getting direction.

But there's a (Low) German saying: "Wat den Eenen sin Uhl, is den Annern sin Nachtigall" (approx: "One man's owl is another man's nightingale"). I guess what some people perceive as sad/melancholic is for another pretty depressing already. For instance "stalking" the irradiated ruins of Pripyat invokes some kind of "romanticism of decay" in me while the game might look bleak and depressing for others.

Of your wishlisted games I'd prioritise Sanitarium and Grim Dawn.

Oh and music - Ulver would be good. Especially Shadows of the Sun which is about as sad and melancholy as it gets. They're really diverse though. I'd avoid their early stuff, unless you've changed your mind and now want quality black metal. :P

Oh, why didn't you say you enjoyed the decay subtype of melancholia? :) That's what I'm looking for too; it's a part of the reason why I'm drawn to post-apocalyptic fiction. The epitome of that would be an abandoned, crumbling castle in the bleak English weather. Apart from what I suggested above, games I've enjoyed that contain copious amounts of that sort of melancholy would be the following:

- The Last Door: pixellated, but very strong in atmosphere, equal parts melancholic and spooky (check out the screenshots)
- Pathologic: a once proud 19th century town now decaying, infected with plague and with an opposition between the old and new ways
- Lifeless Planet: no buildings, but a prevailing sense of vast emptiness and loneliness
- Blade of Darkness: most of the action takes place in abandoned forts, also good atmosphere

High-budget games that contain lots of highly melancholic scenery:
- Castlevania: Lords of Shadow
- Dark Souls 1, 2 and 3; Bloodborne
- Tale of Two Brothers

Detailed answer coming up... Pretty drunk right now...

I see STASIS has not been recommended. It's far more sad and depressing than melancholy but great game nonetheless.

I also agree about The Void and Pathologic.

As promised:

The "decay subtype of melancholia"...

There is a certain melancholic beauty in ruins, and many people seem to be drawn to it. Lots of places like that are tourist attractions and/or are subject for art pieces.

I guess one reason is the symbolism of the finiteness of things and at the same time - since a lot of these places are overgrown and "won back" by nature - the fact that life still goes on.
Right now I have to say that - while I love old fortresses and castles a lot - I feel more drawn to more "recent" ruins. Abandoned factories, powerplants... disused train yards. I guess it's because I can imagine them how they were when they were "alive" a lot better than with a centuries old castle. I have some factory ruin and an abandoned train station right around the corner. The factory was probably still in use ~20 years ago, the train line has been dead for 2 years now (but it has looked like a ruin a lot earlier...).
This current taste is probably the reason why I feel so drawn to STALKER atm. I've tried maybe 20 games from my library in the last few days and this is the one that "clicked".

As for your suggestions:
Since I'm console-less and Steam-less, some games are out of reach.

The Last Door: Will try it some time. But isn't that more like Lovecraftian horror?
Pathologic: I have tried it once, had trouble getting into it, but it certainly looks interesting.
Lifeless Planet: That one has been lurking on my wishlist for ages. But the reviews seem "love or hate", with the hate having slightly the upper hand, so I've hesitated to actually buy it.
Blade of Darkness: Hey, I have that one on disk even. As with many third person action games I'm having trouble with the controls.

I have it, and have played it a bit. But I'm really having trouble understanding how it works. Also I really have to get the mod that makes this easier... and then give it another try.
I agree on Stasis being a great game. I didn't bring it up myself (while I have it installed and I'm maybe 3 quarters through it) because the depressing and horror aspects are pretty dominant (IMO). I didn't feel a lot of sadness playing it.

It isn't, really (though there are horror elements -- I was so scared I had to use a walkthrough at one point, not because I got stuck, but because of the reassurance and decrease of immersion it provided). Fundamentally, it's about people who are fucked up. It's telling that the most cheerful character in the series is a dead illusionary woman.

You really need to finish it. ;)

A valid point, I've been thinking about it myself. It's easier to immerse oneself in an industrial complex or apartment block setting as we haven't spent any time in castles during their heyday. Plus, we're used to castles always being old .In my earlier days of gaming I was more drawn to Duke 3D – due to its somewhat realistic levels – than to Doom or Quake, which featured generic military installations and the like. Add melancholia and you have the best of both worlds. STALKER is indeed the best game for that, I can't think of any other off the top of my head that would come even close to it. Maybe Silent Hill 2. And there's a game I only hear about recently, "I Am Alive", centered around post-apocalyptic urban exploration, but I haven't yet read much about it.

A few quick notes on the games I recommended:

The Last Door is, in its essence, a Lovecraftian horror, but the imagery you're thinking of is not so prevalent. Each episode takes place in a different setting: abandoned mansion, Catholic sanatorium, streets of Victorian-age London, a coastal village etc. Most of the time it's just the right shade of melancholic dusk.

You will enjoy Lifeless Planet only if you like so called "walking simulators", as this game is mostly that with some platforming added. But the vistas are really stunning, and at almost all times you have the feeling that you're the only lifeform on that vast, desert/rocky planet.