Metal Gear Solid 3, especially that one scene where instead of playing the sad scene of someone dying it, makes you pull the trigger. And fuck, if that isn't sad enough, the scene where Big Boss is at that person's grave and cries is absolutely movie. I shed a tear, and when it was shown during MGS4, I remembered MGS3 and cried again :(
Also, Phoenix Wright 3 is pretty emotional, as when it ends so does its story arc, no more Maya, Phoenix Wright as a lawyer, no more everything basically. I hate how they had to end Phoenix's storu like that, and when I had a final conversation with Maya, I cried because I knew that that arc was fucking over, and in the next game Phoenix is a hobo and all his friends are gone.