Yes, in quite a few games actually.
MGS games get me every time... 1: sniper wolf, 2: Emma (she was annoying but otacons pain was the trigger), 3: the end... of the game (i was gutted), 4:... there were several instances.
Shadow of the colossus and ico had their moments.
There have been a couple other titles but many more have made me somewhat emotional.
It's always down to the story though, gameplay has no real impact... i remember playing an awful game for the ps2 (it was free so i played it though out of boredom) that had a heart wrenching moment in it. I think it was called Oni or something, i can't remember exactly. These games have had a lasting impact whcih is probably why i have a better appreciation for the medium then some.
Then again i might just be a pussy.