Shadow of the Colossus: Wander Death
I wanted to start out light, rather than diving into the deep end. Some people who are squeamish might not be able to make it through this list and there needed to be something for them! Plus, not all brutality is based in violence or gore.
The (spoiler alert) death of the main character at the end of Shadow of the Colossus is not necessarily the most intense visually, but it is in every other way. You spend the entire game becoming attached to the Wander. He's a brave young lad who takes on these monstrous creatures without a second thought. All of this he does just to rescue the damsel in distress. But does he ever see his hard work come to fruition? Does he ever receive thanks from the girl he fought so hard to save? Absolutely not. He dies a thankless death in agony. Brutal, my friends, brutal.