end of GTA4, half-life 2 episode 2, shadow of the colossus, and mass effect 2 on the first play through when I lost thane.
although allot of other games got me just as emotional just in a different way, throughout half-life 2, Halo 1, SOtC, mass effect 2 or bioshock I was in a state of aww when just taking in the environments. also allot of these games have just a well realized world that they don't have to necessarily make you cry to be emotional experiences