Well, never cried, but FF-X ending, Shadow of the Colossus, ICO and Clannad were all kinda sad and Saya No Uta was super weird, sad, somewhat scary - I just can't describe it, you have to play it yourself.
There are probably more games I played which were sad and moved me in some way but this are the ones I remember right away.
There are probably more games I played which were sad and moved me in some way but this are the ones I remember right away.