I've never cried in a game, but that's mainly because idiotic morons have spoiled the endings to many games I play (Why, why do they do it?). As silly as it sounds though I would love to cry at a videogame due to something sad happening in the plot that wasn't already spoiled by one of the many people I hang around who are heartless dickheads with no appreciation of story when it comes to plot in gaming.
I once did cry out of frustration though, Fallout 3 gave me a bad sort of ending because I didn't know what to do in the final part of the game and I'd spent the entire game being some kind of saint among the wasteland. But I don't really count that as crying to a videogame.