Hmm. I believe i've got two of such moments that made me very nearly shed some manly tears (and as someone emotionally scarred, that says something)and ill say them in chronological order.
1) The microwave area of MGS4. I was not only watching, but forcing my hero (not protagonist, snake is very literally my childhood and current hero) to go through excruciating pain at pretty much the cost of his life. That's also where it hit me that "this was it", and it hit home HARD.
2) The end of Professor Layton and the Unwound Future. I had my guesses as to the end, but to see and hear it all happen brought tears to my eyes. I was sad for like two days after that about the end of that game and how it all turned out..
(on an off note: DAMNIT CAPTCHA im drunk! stop giving me ridiculous shit to spell for you!!!)