The "shock" scene in MW3 got me most recently. I was plaing on my new 46" TV with my headphones on and I was totally immersed in the game. That just came out of nowhere and I actually had to stop and chill, I suppose it was more the absolute horror of war plus being totally focused on the game or whatever rather than sadness that got me, but yeah.
Also in Gears 3
Which is funny because even though I had played 1 and 2 I didn't really care for them, maybe 3 was just done really well.
And probably a few other things but I can't really remember what.
Also in Gears 3
Dom's Death
And probably a few other things but I can't really remember what.