Tales of Symphonia had me blubbering big time as <spoiler=spoilers>all your team mates are killed off, one by one. I always liked Sheena and Raine the most, but the most touching scene was with Genis. So horribly authentic. So glad when I saw everyone made it. Yeah... I get very engaged in good RPG's.
Eternal Sonata also made a bit sad when <spoiler=spoilers> Polka takes the dive at the end (yeah, she doesn't actually die, but still) and when Claves dies. Such a sweet girl full of so much love.
But aside from that scene, Eternal Sonata actually makes me pretty happy a lot of the time. Oh! I can't forget about Skies of Arcadia! When Belleza<spoiler=spoilers> kills Galcian and let herself spill one tear, and when Ramirez rages over his death, hitting the ground. Same thing when you meet him. It's very touching, and I can really feel her love and his rage. It was also too bad you had to kill a brilliant man like Galcian. A great loss, and at the hands of the player no less. SoA was always brilliant like that.. so raw and yet so bold in the face of that. Most inspiring RPG ever made.