There was one bit near the end of Kingdom Hearts that hit me pretty hard. When you finally arrive at Hollow Bastion and find that Riku's beat you there, he exerts his will over the Keyblade, manages to take it from you, and convinces Goofy and Donald that it's he they should be sticking with, not you. After losing your trusty weapon and your partners, you're left with nothing except the toy sword you began the game with and a lingering sense of self-doubt.
I don't think I cried, but I remember being genuinely upset.