Any time I miss that critical backstab as a Spy on Team Fortress 2, losing my disguise and getting torn to shreads by enemy fire afterwards. Well, atleast MAKES me want to cry. Oh yeah, and losing all my Engineer gear to an enemy Spy because my teammates are too stupid to check around for suspicious guys.
..wait, that's just childish anger. Let's see for some real sad moments now.
This is going to take a while. I rarely play anything but Shooters, although I am a big fan of RPGs too. I would say Aeris' death in Final Fantasy VII to kick things off but I think that'd be stupid since I'm yet to get to that spot myself in the game... I've just seen it on YouTube videos and had friends talk about it.
To be fair, I guess pretty much any sad moment from a video game comes from a YouTube video. I rarely have the attention span to actually play through a full RPG, not to mention my little brothers hogging the PlayStation 2 all the time.
Wait, this is becoming an essay. To answer the main question of this topic... Well, any sad moment from any Final Fantasy game that you can find from that yet another Final Fantasy AMV on YouTube.
OH YEAH! When I was 7, I would seriously cry from fear if I came face-to-face with a Cyberdemon or Spider Mastermind in Doom or Doom 2. No, seriously. Does that count?