I think this is relevant: http://www.youtube.com/watch?v=GebMPnUUg44Elementary - Dear Watson said:
This...
When I read it in the book I cried for ages! Still well up thinking about it!
OT: the last episode of the Walking Dead game. First one that came to mind.
I also got very emotional when my dog died in Fable 2. I was about 10 when that happened, next playthrough I resurrected him despite being completely pure/good.
And of course the dog from I am Legend.