I nearly cried at the KotoR 2 ending, not because it was sad, because it was probably the worst game ending I have ever seen.
I forgot Silent Hill 2.
I got one of the bad endings, where the other girl gets the same disease, that nearly brought me to tears.
There's one ending where the main guy commits suicide. He drives his car into the lake as he's reading his wife's letter.
Final Fantasy IX made me cry because Zidane looked so idiotic that I didn't even get past the first 5 minutes.
They were tears of laughter.
Crying because of games is stupid.
The most recent game that came even remotely close was Eternal Sonata.
Do not read if you don't wish to have the first ending spoiled.
Spoiler:Polka attempting to commit suicide because Chopin died is idiotic, but the music really set the mood.
There was this one part in Gears of War 2 that was extremely sad.
Spoiler:When that guy is looking for his wife and when he finally finds her, he believes she is healthy and unharmed. However, his partner points out that his mind is playing tricks on him, and when he looks again she been sapped of pretty much all her lifeforce. He then proceeds to "end her misery".
PMD 1 and PMD 2, the first time I completed both. The endings were just so sad, IMO ; ;
Other than that... Hmm... I can't think of any others that made me sad... Though actually...
In FF VI Advance, I was so hoping that LockeXTerra would be a canon couple, but after getting Celeste and watching the conversations between her and Locke, I got really sad that there was probably no chance of LockeXTerra becoming canon (I still haven't beat the game, so don't tell me if it does or not XD), but that LockeXCeleste would become canon...