I have not actually cried, but a few fictional deaths did manage to hit me.
Annah from Planescape: Torment, her scene in Fortress of Regrets is quite crushing.
Interestingly enough, Max at the end of The Devil's Playhouse. Not his death as such, but seeing just how utterly devastated Sam was.
Madison in Alpha Protocol was rather emotional, but this one was more along the lines "Okay, I am
so going to kill that guy."
A particularly odd one was Mavralyn in WoW, after Darkshore got cataclysm'd. Actually just a minor NPC, but me playing a night elf rogue, and her dialogue made it really, really sad.
The way the entire crew of Gosroth went down in Crest of the Stars didn't leave me cold, either.
Felt bad for Myryan from Sine Mora as well.
Murais said:
Grave of the Fireflies ranks pretty high. That one hit close to home, and the utter helplessness of that film is soul-crushing.
Okay, I stand corrected on the "not actually cried part". Indeed. That movie is so soul-crushingly tragic that if you have not shed a tear at the end, you have no heart.