Twice in Final Fantasy VII. The famous scene where a certain person leaves the party permanently, and again when the catbot sacrifices itself and tells you "even if another me comes along, never forget me, the original", or something along those lines. Cried like a baby during that :(
The endings to Final Fantasy XIII, and XIII-2 were really emotional too. The former because "aw, that's so admirable, I love this bittersweet moment", and the latter because "holywtfbbq that was unnecessarily depressing and unexpected".
True Fire Emblem runs can be sad too (as in, not bothering to reload when a person dies). "Please, I don't... Want it to end... This way... Ahhh."
Yggdra Union has its sad moments too, like when you have to kill a character who was recently your ally.
That's pretty much it. There'd be more, but it'd probably not be very interesting. --- Evelynn is my waifu. Help... Me...
Hearing some people say MGS4 - can they explain why? I never found anything really sad about that game, other than Naomi and Big Boss dying. --- I will not change my signature until Zone of the Enders 3 is released. Started July 18, 2010 Official Amaterasu of the SMT IV Board.
I kind of teared up during the ending - not because of the ending - but because that game is freaking beautiful (not literally - i.e. combat) and I enjoyed all twenty seven hours of it. For me it has survived the years more than other certain "masterpieces" and I'd definitely take it over the PS2 remake.
When I was 7 and I beat Sonic Adventure 2: Battle... First time I ever saw a main character really die in a video game... What made it all the more emotional was the music. --- it is regular strumming, but instead of a pick, or your fingers, you use a slice of cheesecake.. it gets prety messy, therefore: dirty strumming. ~ kazater