Sonic Adventure 2 Battle- Ahh, the days when 3D Sonic games didn't suck *memorises* This was the last Sonic game to have a decent plot on any level, and right at the end of the game when Shadow died after the final boss battle, that made me cry as it was such a beautiful moment...was being the operative word. in Sonic Heroes they bought Shadow back for no reason other than to satisfy his rabid fangirls and make money, and dear god SEGA, if you're gonna do that put some thought into it, not "OMG 50GAZILLION SHADOWBOTS111!" way to ruin the only good story you;ve ever done. Anyways...
Metal Gear Solid 3- When Snake went to a gravestone at the end, and laid down some flowers and her fun in memory of the Boss, and Eva is speaking in the background. Brings me to tears...
Resident Evil 2- on Leon's disk when Ada falls to her death (well she never died, but you thought she did at the time) despite his efforts to pull her back up, that was the first time I ever cried at a video game.
May be some more, but can't remember them at the moment.