Did you even play the game? He's not transported anywhere. He's not even alive in the first place. He's a manifestation of a dream. Once he realizes this, he's confronted with the same crisis that faces every man: that he will die. Yet, even this (admittedly) deep and powerful existential crisis is mitigated by the fact that he doesn't actually DIE, he just recedes back in to the dreamer's world. While this certainly means he's no longer with his new friends (Rikku, Yuna, Wakka, et. all,) he's asured of an afterlife. No doubt. Zero leap-of-faiths (as in our own reality's religions) required. Seems like a decent deal to me.
Granted, he leaves the woman he loves behind. That sucks. I get that. He has to take on his Dad and kill him. Okay, that's some deep **** too. But at least during his journey, he knows who he is, he has a core being that he can fall back on as a constant. In Cloud's situation, he has no constant: the realization about his past, how he was created, and his own true nature, shakes him to his very core. His confidence and identity are utterly destroyed, and he would have been lost if not for Tifa literally putting him back together, piece by piece. He goes from being completely annihilated, that is to say not even a human being, to triumphantly reclaiming his place in the world, confronting his fear about his identity, and finally defeating the entity that has made him into such a puppet: Sephiroth. He literally goes from being a created, non-human marionette to a fully realised human being (something Tidus could never do.) Cloud's struggle is much more personal than Tidus's. Because his friends help him, though, he is able to face Sephiroth alone (and triumph) in the final battle. That's a character I can get behind. Besides, Cloud never whines about ****. He just brushes his spiky hair back, shrugs, and whips out his buster sword to go to work. Hell yeah.
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