I think the most moving video game I've ever played was Silent Hill 2. I went through a whole range of emotions playing it, from sadness to absolute terror at the thought of seeing Pyramid Head around a dark corner. ..and when he pursues you and Maria down that dreadful hallway.
Finding out what James had done was just...wow. That was a moment. Then having to...well..at the very end....(if you've played, you know what I mean).
I still cannot play this game in the dark by myself. At least, not for more than 20 minutes. And I have played this game...a lot. In fact, I have it for my PC, my PS2, and for the XBOX. I even named my dog in Fable II, "Eddie". And I almost cried when I played Silent Hill: Homecoming and got the achievement "Shades of James" after beating the monster Siam.
And one more:
The entire game ICO. It's not a very long game, but the entire time I played I was just...terribly sad. Until I met Yorda, but then the ending came around. The ending made me cry.
This post makes me sound like a sap, but let's just say that the times I've cried because of these games counts for about 3/4 of all the times I've cried in my life. Now that...wow. I never really thought of it like that before.