Oh wow, let me see:
Shadow of the Colossus: Christ, I can relate to the main character...not with a dead girlfriend or Giant Killing, but yeah.
Final Fantasy X: All the work to just...end.
Gurren Lagann: Yeah, pretty self explanitory...plus Kamina...
Ace Combat Zero: Gotta feel bad for PJ, Pixy, and even Cipher
MGS3: Just that feeling of betrayal and everything you had to do, and you get decorated for it, and yet no-one else will understand.
Peace Walker: Final Boss ending of the 'first' ending was really sad, inspirational, but sad.
MGS4: Just that hopelessness for Snake after everything he did, although I'm still confused as to why Otacon couldn't have just gone through the hallway himself