I don't think any game has actually made me cry but some sad moments for me were:
In Fable II:
In Shadow of the colossus:
In Bastion:
In Fable II:
Visiting Oakvale after it had turned into a swamp. It was sad to see the villiage where I had first discovered the charming RPG a few years before in ruins
In Shadow of the colossus:
The part where your horse seemingly dies. Seing your only companion throughout the whole game die was really sad.
In Bastion:
This one is really recent but deserves mention. I chose to evacuate and carry on. Combined with the excelent ending song I found this to be a beautiful ending to a beautiful game.