The last five or so minutes of Bastion, and credits.
The moment when you choose to save Zulf and the sequence that followed genuinely surprised and moved me. Especially since it very skillfully puts you in "game mode" (oh god, I need to chug all my health potions to make it through this bit, I bet), forms a bridge of hopelessness both in terms of story and gameplay (well, shit, I think I'm out of potions. I'm gonna die.), and then really strikes an emotional chord when your confusion as to why you're not dead has a definite, simultaneously tragic and heartwarming answer (all of it in gameplay, no cutscene malarkey).
Bastion also has one of the few instances of "two buttons in the last room for an ending" that I feel is entirely justified. The Bastion is able to rewind time, thus erasing the miseries caused by the Calamity; however, Zia makes an appeal to the bond that has formed between the whole gang, urging you to simply use the Bastion as a flying fort to see what's left of the world.
I genuinely thought about this decision, and then scolded myself afterward. "The needs of the many, dude," I told myself, and proceeded to wind back time for the sake of all the ashen statues I had run across.
The ending credits theme is a melodramatic mix of Zulf and Zia's theme, along with a montage of pictures. As image after image drifted by, I realized what I had done: I had simply let it all happen again. The pain, the pointless sorrow of it all was doomed to repeat itself--and since part of that sequence was my decision to go back, I knew that I had just condemned this world to go through its apocalypse again and again and again.
Of course, I had an opportunity to set things right in the New Game Plus mode--a clever deconstruction of the device--but I still remember how I felt at the exact moment when the enormity of my foolish, good-intentioned crime dawned on me.