Gosh... So many sad games...
Of the ones I've played I'll have to say: (and yes I know they've been done to death)
1st: Ending of Shadow of the Collosus, the way you can't get to her when you're getting pulled back really struck a chord with me...
2nd: Epic disk swapping time between Disc 1 and 2 in FF7, it was during then that I had to dwell on Aeris' Death. (and a special mention to the first time I went into a shop after her death and saw that you could still buy her weapons...)
3rd: When you think Cid dies in FF4... And when you think Palom and Porom get turned to stone... AND when Tellah dies... Hell FF4 is just overall quite sad...
4th: A few times in Dirge of Cerberus actually...
5th: I may as well mention a scene or two from every other Final Fantasy game shouldn't I
