I adore the sadder aspects of RP, though preferably if they are the result of a slow burning developmental arc. For instance, in my early RP goings several years ago, I had a character who rose to authority via a series of manipulative schemes. Brilliant little tactician, but far too pragmatic for her own good. Said ploys resulted in the execution of her brother when they ultimately lost a war (it was a medieval setting). Despite everything she'd done up to that point, it nearly felt like a cry for the devil moment. From that point on, I got to explore her coping with the consequences her actions caused.
These types of plots can be incredibly rewarding with the proper commitment. The only downside is it does require a lot of said commitment, unless your tragic elements are apart of the character's backstory.
