The ending to The Sands of Time gave me a couple of tears. I really don't understand the direction they then took with Warrior Within: SoT was a pretty dark game already, and its ending is, in reality, pretty fucking miserable. An improvement upon what it seems it's going to be, but miserable nonetheless.
Also, whilst it didn't make me cry, there's the scene in Mafia 2. As in, the scene. Its really fucking messed up. And then there's the ending to the first game, and seeing it reenacted in the second is not a fun experience.
I've not yet balled my eyes out at a game as I have done with a couple of films, books and TV episodes though.