I cant remember the one were I firsted cared for them but I do know the first one which reduced me to tears because of whats going on, and I think anyone who has played it can agree:
silent hill 2
(dont know how to use spoilers so il just say "spoilers ahead")
it made me cry seeing james have to go through his wifes death repeatedly and in the end it turns out he killed her :'( to end her suffering. although the "fake" one was a real ***** to fight. add pyramid head to the mix (a manifestation of a desire to be punished) and you got emotional hell.