Mass Effect 2, first time finishing and I lost Legion to an explosion. Garrus to a headshot. Thane to a shot to the gut and Mordin...I don't know.
Gears of War 2, after the part with Tai I stopped playing for a very long time because it almost made me throw up, it was sickening. I looked up the other sad parts and then watched the part with Dom and Maria on YouTube...I cried man...I cried.
Fallout 3, stepping into the outside world for the first time and seeing just how barren and empty. Unfortunately I can't get that feeling from Fallout 3 again and probably never will
Medal of Honour, after surviving the massive ambush after many attempts and seeing the soldiers get saved after so much loss of hope and being so sure it would end with them dying as part of the story made me so happy and full of hope.
Dragon Age: Origins, at the end when I had to either sacrifice myself or my companion Alistair. I sat there for a good ten minutes wondering what to do and finally sacrificed myself, then at the end I find out that my dwarf, a casteless, shunned stain on society became a Paragon. The song by 30 Seconds to Mars at the end really sealed it.
Dragon Age II: After Anders blew up the Chantry and everything went tits-up I had the option of telling him to leave, letting him come with me or just killing him. I had been through so much with this man and he did something so vile I almost selected the option to kill him but eventually let him live. Also the part where Isabela steals the Qunari thing and runs off, I trusted her, romanced her and she does this? If she had come back, I would have killed her.
Fable III: The choices after you become King. 'Nuff said.
Prototype: The ending, every time he closed his eyes he'd hear the screams of over a thousand people.
Metro 2033: Running out of oxygen on the surface an hearing Anton gasp for air but ultimately fail.
Devil May Cry: Defeating the boss monsters for a final time and hearing them scream for mercy as their master kills them without remorse. Also, finding out that one of them was your brother.
Devil May Cry 3: Fighting your brother for the last time as he falls into the abyss, I cried :'( SHUT UP I WAS YOUNG!