I don't recall crying in any game, although the ones that hit me hardest were:
- MGS4 - Ending of Arkham City (the last 'joke') - Valkryia Chronicles (when a certain kid dies, as she was making amends) - Mother 3 (I never played the game, but after reading about it and watching videos.. it felt like everything went wrong in that game)
Dying to the final boss in FF3. Time to do a 5 hour dungeon complete with 4 bosses and no save points again!
That was the worst. The first time I played through that dungeon I actually beat the final boss, but it was like 3 in the morning and I fell asleep while the credits were rolling. When I woke up my DS was dead and I didn't get a chance to save because I passed out, so I had to do it all over again. When I went through it again I somehow forgot to kill one of the sub-bosses, so the final boss wasn't weak enough and I got slaughtered. I just gave up after that because I was so damn aggravated and had already wasted so much time. I never did go back to finish it again, but at least I know that I actually did beat it, though, which is quite a feat for a game that was nothing but over 100 hours of grinding and frustration.