Games-
Final Fantasy 3/6 - Celes tries to kill herself for not saving Cid. And I was 10 at the time.
Valkyria Chronicles - Isara's death. You bastards. You cold hearted bastards.
Acecombat 5: The Unsung War - The death of Alvin H. Davenport AKA "Chopper". This one holds a special part in my hear that I'd share with you guys. Ace combat games aren't well known for their characters, but this one actually made me feel like I was part of a team, rather than the dimmist AIs they could find. "Chopper" was the funny guy of the squad, often clashing with the support aircraft you have. Ever since I started the game, he was there helping me out, and his lines were very nice. Later, toward the middle or end of the game, we have to protect a stadium from being bombed from the air. Chopper takes a hit to his plane, but rather than bailing out and risking the civilins on the ground stays in the air. The enemy planes note his damage and aim for him, even ignoring me. The only chance he has is to ditch the plane in the stadium, after the people have left it. When it's clear for him to land, Chopper comes over the com that he can't. "My electrical systems are fried. I can't open the hatch." Then, after saying goodbye, Chopper crashes to his death.
This was one of the few times I ever had to pause the game and sit back. Couldn't believe it. Favorite Character and he was gone. Just like that. This faceless voice made me care more about his death than Aries did back in FF7. Can't explain why. Also of note, when I unpaused the game, another wave of fighters came in, and I thought of only one thing. Revenage. To this date, I can't think of another game that made me want revenage on the enemy. Just thought I throw this out there for you guys.