As I understand it Changeling: The Lost is the bleakest NWoD game, and up there for all of WoD.
Worse than Wraith?
Imagine this: You live a normal life, happy enough with your loving wife and young child. Then you get kidnapped by some asshole Fey, tortured until you utterly broke down and got turned into an ottoman for them to rest their feet on. Your mind gets wiped and you exist in a mindless stupor. But for some reason you get a glimpse of a memory of your old life back, and a desire to go back home slowly begins to overwhelm your desire to stay. You figure out a plan to outfight/smart/charm/bargain the asshole who has been resting his feet on you for who knows how long and you maange to get home. But as it turned out like a century passed while from your perspective it was only a year or two, or you come back ten years older and only a week has passed. Why? Because fuck you.
But your family has not missed you, because your place was taken by a Fetch. This is pretty much a duplicate of yourself minus a couple of character traits. If you're unluck, these are your flaws. And this Fetch is not all too keen on giving you your life back, because they are you. This is also why killing them is a Bad Idea, because you just killed yourself but you're still alive and you killed your memories and oh god make it stop make it stop make it stop make it stop make it stop make it stop.
Oh, and that asshole who kidnapped you in the first place? He wants you back, and is willing to fuck with you in any possible way to get what he wants. Know the Antediluvians from V:tM? Think something on that power level, and it's 100% dedicated to fuck you over in every conceivable way. He haunts your nightmares and gives you a choice: either comply with their demands or prepare to have your existence fucked over, or even worse: be dragged back to his domain. Why do they even do this? Part for the fun of it, part because they are required to face strife and conflict in their existence, otherwise they cease to exist. Can you fight them? Sure, but when you've reached the point you can do that you're well on your way to become a Fey yourself. Have fun!