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Stories, after a while, end. Games are at once the epitome of and the exception to that truism. There are, of course, a ton of games, even some with prominent narratives, that don't actually end. Still, gamers clock more hours in a single stand-alone story than in any other medium, unless we're talking about a TV series or a tedious "cycle" of fantasy novels, neither of which ask the player to identify with one principal character as video games do. In games, it's really a 1:1 match. The player and the protagonist are the same character and that doesn't happen anywhere else.
Inhabiting a character for so long, you're entitled to have that experience pay off. Total up the hours spent in a sprawling epic like the Baldur's Gate series and the result is humbling and embarrassing. If that story doesn't resolve itself to the player's satisfaction, they've kind of wasted their time.
The whole game, you and the character are in pursuit of the same goal, the same power-ups, the same love interests. At the end, it's best not to get any of that stuff. You shared motivation but ultimately the character will have those things and you won't. The player's reward is never going to be as substantial. If you lose, you lose together.
It's about being emotionally synchronised with your character. The game Mafia is structured according to a very conservative design where the story, a distinctly separate institution from the gameplay, progresses only in the cutscenes. With the player and the character, Tommy, forming this gestalt entity, a schism develops between the two of you. Because in the role of this mafia hitman, you do all the work and Tommy gets all the reward. You have no input into the cutscenes, which are where Tommy gets to enjoy all the ostentatious benefits of mafia living; sex and fine scotch. But Tommy doesn't show up for the exacting shootouts, speed limits and race missions. That's all you. The two of you are not really on the same track.
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Digital happiness doesn't mean as much to the player as it does to the character. It's the heartbreakers that hit home. That is, unless you're really super-altruistic and get actual satisfaction out of helping Tommy win, and the smile on his face is all the reward you need.
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A miserable ending is not always better than a positive one, but games are better at conveying the emotional qualities of the former. It doesn't have to be completely bleak, either. I'm thinking of the fourth Quest for Glory which literally does end in traditionally narcissistic RPG fashion, with the townspeople all patting you on the back for a job well done, but the events of the game still go down as a bittersweet personal loss. You don't have to forfeit everything, but you should miss out on something. It's like Indiana Jones losing all the artifacts.
Sad endings can still be affirming. That's what Prince of Persia: The Sands of Time did, that's what Planescape: Torment did. On the other hand, there's Neverwinter Nights 2: Mask of the Betrayer, which has a poster of Torment up on the inside of its locker, and Neil Gaiman verse tattooed on its thigh, but ultimately it fails its heroes. After maintaining a somber, fatalistic mood for most of the game, it takes and abrupt and disingenuous turn into sunshine. In no way do I undervalue positive moments and their potential to be incredibly powerful. But an ending that's across-the-board positive, that gives the character everything? You don't feel that, you shrug it off.
Therefore, if there's a way for me to end this blog that depresses you, it's going to happen.
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