Haven't ever cried over entertainment, yet.
But the ones that brought some sadness would have to be:
Silent Hill 2 (there is no good ending, just varying degrees of horrible)
The Darkness (the ending sequence makes you feel helpless, weak, angry and doomed)
Valkyria Chronicles (few moments throughout)
Persona 4 (ending)
Red Dead Redemption (the two endings)
Spec Ops: The Line (a few moments throughout)
The Walking Dead (the ending bit, everything else was largely meh)
Those are the ones I can remember. Mostly from the last few years, because I'm uncertain if some older titles would hold the same impact and I might have somehow forgotten 'em/blocked out the PTSD.
I was considering putting Call of Duty 4, but then the sequels completely ruined whatever tragedy and ambiguity the ending contained (among numerous other things the sequels proceeded to fuck up).