Honestly, I've never cried at a game. And I'm not saying I'm some sort of badass, just that a game has never made me cry. I played TWD, not really phased. I downloaded To The Moon and played through that specifically because I heard it was very sad and wanted to see for myself, but in the end I was just left with a feeling of "Meh." I wish I had cried at the ending, I almost feel like I missed something. I mean, yeah, okay, it was pretty sad, but nowhere near the level of tear-jerking sorrow that I had been lead to believe. RDR was pretty sad.
Mass Effect 3 almost made me cry when Anderson died, as the camera panned behind them and you saw space. Just the culmination of the past few years, playing and replaying the first two until I had my perfect Shepard to carry over, and then to finally reach the end. But then, of course, it got all weird and stupid and ruined the moment for me with Starchild.