In terms of games that envoked unexpected emotion, I never thought Dead Space would make me sad, but watching Issac Clarke, one of my favorite video game characters ever, hold his face in utter depressed sadness after figuring out what really happened to his girlfriend.
But, if you want to know my #1 place on the sadness list?
http://www.youtube.com/watch?v=CxV8j2m8HSk
If you've been playing all through the game and trying hard to ignore the awful gameplay and focus on the wonderful and depressing story, then around 3:00 your feel extremely shocked, then extremely saddened by the truth. 3:50 is one of the few moments I have ever known where something is so horrifying yet so saddening that you just stare at the screen slackjawed. 4:07 is about when I broke down.