Never cried to my recollection, but I have had games that have made me severely depressed, that pit in your stomach feeling you get when you hear bad news like a death in the family.
2 Fairly recent games have given me this feeling, for separate reasons.
First is Bioshock Infinite, without spoiling anything, as I played the game, I enjoyed the characters so much I was hesitant to continue playing because I knew in Ken Levine fashion, that the later parts of the game would end up getting pretty heavy and I just wanted the game to just stop and say, Both characters escaped and lived happily ever after. The game's insane ending leaves that possibility on the table, but I cannot think that positively. I spent a few days feeling depressed, it was right during finals week on college and I promised myself not to touch the game again until I had a week of time to recover from any feelings it gave me. When I played it again and then played through the DLCs, I was less saddened despite the harsher ending to the DLCs.
The second game or games was the Mass Effect series. I got ME1-2 on Steam a year or so after ME2 released and played through them both back to back. I again was enamored with the characters and really liked the storyline, despite all of its flaws. I ended up with Ashley as my love interest and during Mass Effect 2 when you meet up with her or the other guy, and they yell at you and are mad, I felt horrible and upon beating the game could not wait to get ME3. I even preordered the damn thing, knowing full well it was Origin exclusive. First mission in to the game, Ashley gets hospitalized and no longer a party member for most of the game. I flew all the way back to the hospital after every mission hoping that there was a dialogue option or something to return her to the party. Again I felt the feeling of not wanting to finish the game because the game clearly sets up the idea that its not going to end well for Earth. Then the ending happened and I was depressed and furious. I picked the synthesis ending the first time and was furious, played through the mission again picking destroy and was still furious, I wanted a happy ending to be possible, I played ME1 and 2 like Mother Teresa with a plasma gun and the ending just pissed me off.
This one made me feel depressed and angry for several weeks. Additionally, I was the first of my friends to beat it because I have little social life. I tried not to spoil it for them but I told them it was awful. The one cathartic moment out of all of this was one day I saw a friend a week later who had been playing it, he walked up to me looking dead inside. All he said was "I finished Mass Effect 3." and that was all that needed to be said. We gave him his space for a while after that.
Ultimately, I had gotten over the whole thing by the time the directors cut came out, and playing through the final mission again, I was much more impressed by how atmospheric it was. And then the new ending happened and it continued to leave me pissed off because while slightly cheerier, it still left way to much shit open to interpretation. All it did was make me care again for a few hours only to piss me off when I would have much preferred to continue to consider Mass Effect dead to me. That said, if I learn that the new Mass Effect retcons a super happy ending in for Shepard if you import your save, I might consider buying it purely for closure.
Some other games that have given me this depressed feeling but not as long lasting were Bioshock 1 and 2, 2 more so than 1 since Bioshock 2 doesn't have a crappy cheerful ending option like 1 did.
Metro Last Light gave me this depressed feeling, since they chose the bad ending as canon for Metro 2033, I assume if they make a direct sequel to Last Light they will repeat this and I hated the bad ending in Last Light. Liked both endings in 2033 though.
LA Noire kinda gave me this feeling but it also pissed me off because of how illogical it was, I resign to believe that lots of Cole's characterization was scrapped since LA Noire was a production nightmare and that it was just financial reasons they couldn't explain Cole's mistakes.
Oh and still fairly dead inside from the ending of Half-Life 2: Episode 2. Get to work Valve.
Emergency Edit: Completely forgot about the one that brought me fairly close to tears, Starcraft series. That game is full of depressing moments, although Starcraft 2 Wings of Liberty was spoiled for me in that I saw the cutscene where someone says they can give Raynor what he always wanted, I knew right away what that was going to be. But then it all goes to shit in Heart of the Swarm. Worst part about Heart of the Swarm was when something happens early on. I had preordered the game so no plot synopses were online and right after something heartbreaking happens, my computer died. Had to wait 2 weeks for a new graphics card to arrive (yay warranties). That was really crappy because it took about a week before I finally found online some more information and learned that the heartbreaking thing was only a ruse. Still horrible few days though.
