Three games come to mind. Shadow of The Collosus, Because each time I killed one of those beautiful beast a little piece of me died, and even though it was a work of fiction I think the idea of destroying something so wondrous scarred me deeply. I never actually wept, but a few times, as I watched them fall, my vision blurred as a shed a tear.
Devil May Cry 3, when Dante defeated Vergil. I actually have a twin brother, one that I am jealous of for many reasons. Seeing Vergil driven to a point of hatred for his sibling and being struck down for it was nothing short of tragic in my eyes. Seeing myself mirrored in such a way was shocking and heart braking. Not to mention Dante is a personal hero of mine, and seeing the silent agony he was in hurt me a little too. In any case the scene itself resonated deeply with me.
Finally Devil May Cry 4. When Nero confronts Sanctus, who asks why he is not worthy of Sparda's power. Nero's response was that "Sparda had a heart that could love a human being, and that is what you lack!". I'm not sure why I shed tears for that line, it was not sad, just powerful.
I never actually cried, but I shed tears, because something about these sights struck close to home.