Well if we allow video game characters then Alvin H. Davenport a.k.a Chopper from ace combat 5. I teared up because he was a great character who stayed with you the whole time, I mean until he dies of course.
For a movie the one that struck me the most is the two children who die in Der Untergang (The Downfall), which is a story about the Russian attack on Berlin from the point of view of those in Hitler's Bunker and the city's defenders. They are a boy and a girl and the Russians are about to come kill them and they know it. The girl hands the boy a gun does the Nazi salute and the boy shoots her, he then shoots himself. It was powerful and conveyed the mix of hopelessness but utter loyalty many of these children felt.