Let's see...
Persona 3- While the famous scene where Shinjiro died was great, I felt the story of Aigis trying to coap with the fact that she is a robot, yet she DOES have emotions, was deeply moving, and was one of about 50 scenes in the game that made me feel emotional torment, and the only to make me tear up.
Metal Gear Solid 3- The Boss's death was sad enough on its own, as was her monologue beforehand, and her backstory as a whole, and her character as a whole, but what made me blubber up like a mannaty was when EVA explained everything on the tape. While this is a cheap way to tell what really mattered, in my book, it worked surprisingly well this time around.
Final Fantasy IV- While later games did have better stories, I feel that Cecil's self-torment for being tricked into following an evil king's orders and, even worse, refusing to stop until he did it TWICE from cowardice and being afraid of losing his knighthood because he wouldn't follow orders, just worked for me.
Metal Gear Solid 4- Although I HATED the game as a whole, the ending was perfect enough to make me cry.
Silent Hill 2- The game's entirity was sad enough to make me feel like crying the whole way through, but a lot of choice scenes and themes really did it. One scene was James watching the video tape and realising, once and for all, that he killed his wife. This scene portrayed a man's lying to himself because he was so ashamed of what he did that he didn't even know that he did it, he just knew that it was his fault. Angela's backstory horrified me in a way few stories do-- not making me sad because of what happened or how I enterprited it, but because of how terrible I was for even enterpriting it that way, even though it was how it was meant to be enterprited. Eddie's story had sheer relatability. The meaning behind Pyramid Head as a whole made me just tear up, but not when I played, but when I thought about it for the next week.
Bioshhock- I don't consider the ending much in the way of emotion, though it did get to me. Really, seeing such a great place founded on a really AMAZING idea fall apart because of how perfect it was (and because the leader was a giant douche, but mainly from its perfection. And the leader's douchehood) made me stare at society with eyes with more water than than Pokemon's second gym leader.