The only things that make me cry entertainment wise are football movies that are insperational (I teared up near the end of The Express:The Ernie Davis story when he walked onto the turf of Municipal Stadium and also a lot during The Blind Side), but there are saddening moments to me in video games
In Infamous, when (spoiler warning!!!!!11, look away if you don't want to be spoiled) Trish died, I was pretty sad, not as much as I would have been if I was good the first time, but still pretty sad since it was a shocker. And in COD4:MW, when your American guy dies in the radiation, I was in shock...which was the point, but the execution of it was saddening to a tear jerking almost point for me...
There are more, I just can't think of them off hand...