I got surprisingly close to tears when all the Lumas jumped into the black hole at the end of Super Mario Galaxy, the music was so sad. But I didn't cry.
I was deeply saddened by Skyward Sword in the scene where Zelda tells Link that she's sorry for having him being the Middle Man, she fooled herself into believing that she was playing him all along. Then she froze herself in a crystal for hundreds of years, waiting for Link to save her. Link's face when she told him, he actually started crying for the first time ever. But I didn't cry.
But both those times caught me off guard, Mario Galaxy I thought was just going to be Mario saving Peach, and then the universe collapses in on itself. And in SS, you had just got the true master sword after going on a wild goose chase of barely losing Zelda.