Weird, but it made me cry. Sonic Battle. You spend your entire game raising the damn robot, only to have him blow up... it made me cry more than Aeris' death did. I'm not so sure how screwed up that is.
Mother 3's final boss and ending. Something so beautiful, I won't spoil it here. Just... trust me on this. I figure those who have seen it, know what I mean.
EBA's Your The Inspiration. Fail, win, or get the alternate ending. Anyway you cut it, you'd have to be souless not to feel this.