A few things here and there…
Kingdom Hearts
The ending of the first game, Axel disappearing at the end of Kingdom Hearts II, Xion's death at the end of 358/2 Days, and the fates of Terra, Ventus, and Aqua at the end of Birth by Sleep. Among other things.
Pokemon Mystery Dungeon 1
The ending. The first time I played the game I was really crying. Tears streaming. It was very sad.
The Legend of Zelda: Skyward Sword
When Zelda reveals herself to be the Goddess Hylia to Link.
The Legend of Zelda: Ocarina of Time
I really don't know WHAT it was, but the ending made me tear up a bit.
The Legend of Zelda: Majora's Mask
A lot of things. But the scene of Anju and Kafei together waiting for the dawn at the end of the third day was…very touching.
Ratchet & Clank Future: A Crack in Time
When Alister kills Ratchet.
Code Geass: Lelouch of the Rebellion
When Kallen visits her mom in the hospital. When Lelouch erases Shirley's memory. When Lelouch kills Euphy. When Rolo kills Shirley. When Rolo dies. When Lelouch takes the Key of Damocles from Nunnaly. When Suzaku kills Lelouch. CONTINUED STORY, MAN. That song brings tears to my eyes every time.
Tengen Toppa Gurren Lagann
When Kamina dies. When Nia dies. Hell, even when Kitan dies.
Bleach
When Byakuya and Renji take Rukia back to the Soul Society. It's just heart-wrenching. And seeing Ichigo in such a state was depressing.
Digimon
Right before Omnimon came into existence.
Mass Effect
The end of Mass Effect 3. Especially the conversation between Shepard and Anderson. And a lot of Paul Grayson's story in Ascension and Retribution was tear jerking.
I could think of more, but that's good for now. ^.^