All have already been mentioned, but:
Red XIII (sorry, Nanaki for you diehards) and the story of his father,
Aeris' death (DAMN YOU SQUARE! STOP IT ALREADY!),
Red XIII (sorry, Nanaki for you diehards) and the story of his father,
Aeris' death (DAMN YOU SQUARE! STOP IT ALREADY!),
Dom's entire story from Gears 2 onwards. A tragic character of having what little hope he had crushed, struggling with the guilt and misery over what he couldn't do and what he had to do and finally ending it all to save his friends. All in a leading role. Dayum Epic, you cold.
Oh yeah, and Marcus' dad.
Oh yeah, and Marcus' dad.