The crushing inevitability of losing, of course.
Mass Effect 3 is unique in that it completely hit full reverse to the tone of the rest of the games. The first two were triumphant and all about combating the threat of the Reapers one way or another. Each time, you were victorious. Mass Effect 3 is not about victory. The Reapers are here, in full force, and they have gone to each planet and are spending their incredible power crushing them. Shepard is now tasked with unifying a force to stop them, using the blueprints for a really big thing - maybe it's a gun - he found that will, hopefully, somehow help.
Every race needs to be convinced they should drop the defense of their planets and help on the Crucible, but none of them are eager and ready. Nobody knows what it does, or how it will help, even if it does anything. And all the while, as you run these errands, death racks up constantly. Legion sacrifices himself to give the geth sentience. Mordin is killed when he cures the Krogan genophage. For me, Miranda died, because I didn't warn her about Kai Leng.
And the dying all ties it closely into what happens - you don't win. You just can't. All of the effort is just a desperate last struggle before you die. The Reapers are stopped, but billions of people have died, many of them your friends. The one who's been with you the whole time, Anderson, lies bleeding next to you in his final moments, bleakly joking before falling silent.
And, of course, the Catalyst isn't a weapon. It's just the hivemind, with a computer older than God in it that controls everything. No matter what choice you make when it offers them, it is a bad one. People will die. Those that have died sacrificed themselves practically in vain. The Mass Relays are no more, meaning entire colonies are separated from their homeworld, such as Garrus and Tali. It's not even bittersweet - it's just bitter. It sucks.
And that's the end of Shepard's story (or at least it should be - I hate the idea that they're secretly alive). They die, and that's all, folks.
And the Crucible/Catalyst twist works. You spent the entire game not knowing what you were even building, only hoping it would help. The Prothean even doesn't know what it really does, and it was assumed that they built it. The Citadel has already been previously established to have an ancient and mysterious purpose to allow the Reapers in, and it was built with the Relays. They are all connected, somehow. And the Catalyst is how - it built them.
Throughout all of Mass Effect, but especially ME3, the presence of cycles is a constant theme. The Geth and the Quarians. The Krogan and the Salarians. Whatever happens, the races are both in a rush to change things in hopes to stop the inevitable, and the inevitable is said to happen anyways. The Catalyst says that a new cycle must happen, because it is an impossibly old computer program with a broken subroutine.
The times when death has shown up in the past has been extremely safe and controllable. Sure, you could screw up at ME2's suicide mission, but it was always possible to keep everyone alive. ME1's choice was outright A or B - which one were you going to have sex with, essentially? The rules were clear cut, and it set up the expectation that it would continue.
And that's how ME3 dashes your hopes away. People will die. And you can't stop it.
Mass Effect 3 is about loss, death, inevitability, and the extinction of life. It's about someone with the fate of everything resting on their shoulders, and how it finally wears them down as they try to keep the galaxy safe against a threat that constantly reminds them that they are one man. It's not a happy game. And it can't be.