Limbo is one of the grimmest and most depressing games out there. It tells a story of a boy who tries to find his sister (who may or may not be dead), and eventually he does find her peacefully playing outside. But at the very end he is caught up by a leech that takes him further away from his sister once again and everything repeats once again.
This gamer theory states that the ending is not real (meaning that he doesn’t actually find his sister – it’s just an illusion) and everything that happens is just the boy’s post-death visions that repeat themselves endlessly. That is also why he will never stop running away from the scary spider, and that he will never get out of this nightmarish limbo.