[[SPOILERS]] The episode 'Reunion' and the game 'Window' show that Naarah was pressured by Elon into sacrificing a dog that was presumably her pet when they were still alive. The actual event is shown in the game, while the episode features a dramatic recreation.
[[SPOILERS]] Both of the female leads are in their early teens and deceased; some of the games even show how they died. There are also other kids who die in the games.
Indirectly; the portrayal of Indigenous people and culture in the show (especially of the Skinwalker and Naarah's backstory) is quite negative and insensitive. The Skinwalker is portayed as a demon instead of a religious figure, while Naarah is an Indigenous child who was kidnapped and raised by white Puritans. Also the G slur is used in one episode.
[[SPOILERS]] In the games, one of the main characters is shown being strapped to a chair and tossed into a lake. This is referenced in Tony Crynight's speedpaint and one of the final episodes.
[[SPOILERS]] One of the main characters was drowned after being accused of witchcraft, and in 'Happybirthday' interacting with her skeleton generates text along the lines of "I can't breathe"
Naarah briefly gets possessed in 'Circle' after her & Elon's banishing ritual fails. [[SPOILERS]] The failing of the banishment ritual summons the big bad of the show.
[[SPOILERS]] The game 'Unholy Circle', a secret ending is unlocked by jumping off a cliff. This is revealed to be how one of the minor characters killed herself.
Being an ARG, this is common; the characters occasionally speak to the viewer, and one episode has them answer questions from the viewers. [[SPOILERS]] The final episode reveals that the whole series is a game. Er, a haunted game.
[[SPOILERS]] More bittersweet than sad, but the endings of the Creature Saga and Portal Saga can be viewed as such. There's also sad endings in the games, such as Dark Cavern, Banana, Unholy Circle, etc.