Dude, death is all over the Zelda games... there were several deaths that to me were sad...
For example, the sage in the sanctuary in
ALttP, complete with sad music and everything, had me shedding a tear.
It was sad when the Deku Tree of
OoT died...
I actually felt sorry for Ganondorf in
TWW... hundreds of years of trying to get the triforce and then just as he's about to touch it, some mysterious quasi-ghost who should be dead by that time appears out of nowhere and makes a stupid wish... and then to top it off, he gets stabbed in the head with a sword and dies.
And like it was already mentioned, the moon in MM, was sad and a bit scary...
What I propose is a better cutscene in case the player dies... perhaps showing Link, Zelda or the King's execution at the hands of his enemy...