several:
persona 4: the ending. it'd be no good tryin' ta show ye on a vid, but after playing through the game and forming an attachment to the characters, i started cryin. also, that scene with nanako- you know the one.
immortall: here's a link:http://armorgames.com/play/5355/immortall
brilliant and poignant, and even if you don't cry, you will feel sad afterward. it only takes about 3 mins to play and finish it, i really reccomend ye play it.
shadow of the colossus, fallout 3/new vegas,persona 3, final fantasy 7/13, metal gear solid series,mass effect 2,bioshock,demon souls:
didn't make me cry, but made me sad and made me pause for a sec to get my bearings, either because of shock(did i/he/she/etc. just do that/die?)or because of anger because something happened to a character i liked ( he killed them! that p***k! i'm gonna destroy him!)
there are loadsa games out there that'd make ya cry, although i reckon the japanese are better at causing tear jearkers than western developers.
oh, and those moments in persona 4 and immortall? still make me tear up a bit.