I still think the biggest fridge horror in the series was the implication of Tails' death in Sonic 2. However, I found that concept 600 times creepier after reading this bit of Wild Mass Guessing on TV Tropes (and in no way is this true, might I add, but it still gives me chills):
Robotnik steals Tails' soul in Sonic the Hedgehog 2 - Game Gear.
If you cheat to get to the last level instead of getting all the Chaos Emeralds, you get the bad ending (Sonic alone, Tails in the sky) EVEN THOUGH Tails appeared in the teleporter.
The rescue didn't count for some reason, it seems. Why?
Robotnik did something to Tails after capturing him (which is why he captured Tails alone and didn't capture Sonic at the end of Underground Zone Act 3), which did something to him; he Came Back Wrong.
I think that Robotnik stole Tails's soul to power some kind of doomsday weapon. After rescuing the comatose Tails, Sonic carries him all the way home, tries to feed him some mushed up baby food, talks to him for a while, tucks him in bed, reads him a bedtime story, and watches over him all night and all day from that point, hoping he'll recover.
I remember someone in the fandom creating a comic with the concept of this lore,but I can't seem to remember where it was or how to find it. All I know was that it was heart-wrenching.