I feel like it's happened, but I can't think of anything aside from when I was playing Major Stryker, and I got to the final boss of episode one (I only had the demo) and I had like 30 lives, and I just, I saved my game, and died so many times...I couldn't do it for a long time. And I got to thinking about him, like, "hey, he has a family maybe...and some kids, and...and, their dad will never come home, and...they'll never get to see him again, and they won't even know for a while, and..."
etc, etc.
Granted, I was SIX YEARS OLD, but even then I woke up the next day feeling stupid about it like "lol it's just a game" and then went down there and beat some ass and got it.
(and I was a dick to my brother who I got a higher score than - I loaded my saved game like 9 times to beat it every time and put my name in again every time, just to get him off the high score list, and I think he beat the shit out of me and I might have cried and I guess that's because of a video game, right? lol.)
But because of emotional feeling? No. I got sad a few times in many many many games, but mostly just to the point of "well, this happened, and you gotta deal with it and get through it" instead of "WHOMG, I'm gonna cry."