Heroes that move you.

[PhoenixFlame]

Metal Gear Solid: Grey Fox. Yeah, go ahead and laugh. At the time most games I played were completely devoid of important character deaths that actually had an impact. So when I was a kid and played it, Fox's death hit me.

No laughing here. Actually, there are a couple that take the cake in the MGS series, most notably Grey Fox, Fortune, and especially from MGS3 the Boss - the particular explanation and final revelation surrounding the Boss's loyalties was definitely moving to me.

On a sort of side note tot eh whole thing, I do think that music really defines how moved you are. For example, I am probably oen of the few who wasn't really moved by Aeris' death in FF7. It just wasn't there for me. On the other hand, death in games like Xenosaga and MGS is carried out with haunting musical undertones that really strike a chord with me.

 

[Crystalite]

Spoilers for Dragon Age below:
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The ending where your warden gets killed. I just couldn´t believe it. I always thought that Alistair would jump out and save me, but he didn´t. Then I thought that it would somehow plotwist me into beeing alive all the same, nope.
And then having Leliana sing me a song in mourning, that must have been the saddest I´ve ever been in a game. The charakters of that game have moved me most, as should come to no surprise to anyone ;-)

Yeah, and burning the weighted companion cube kind of freaked me out, but that doesn´t really count as a character, I think.

 

[Chancecall]

Jessie from the first disk of Final Fantasy VII. I sensed something between her and Cloud..... alas it was never meant to be.

 

[Delock]

The Boss from MGS3, along with most people in MGS4 who bit it.
Shadow of the Colossus. The colossi and your horse.
Andrew Ryan (Bioshock) and Jenny (The Darkness) for both being intense deaths that you can only watch in games while you're still in first person perspective (in the Darkness, most cutscenes take place in third). Funnily enough, both games have 2K's logo on the box, even if they were made by different developers their gameplay's similar (superpowered FPS based around some foreign lifeform that causes chaos when people use it).
Xenosaga. Most everytime they kill a character, you've grown to love them by that point. The end of the third game was especially heart wrenching.
Gears of War 2. If you've played the game, you know exactly who I'm talking about.
Tidus, from FFX. It's more of the lead up to the death with all the little details about the Fayth and Sin (especially it's relationship to Yu Yevon) and how you were mostly a pawn and your first real choice to take control and change things ends with your death that makes it powerful.
Legend of the Dragoon had several good deaths too if I remember correctly.

 

[JourneyThroughHell]

Any bad ending for Ethan Mars in Heavy Rain is painful to watch.
Seriously.

 

[unreal713]

Nanami from Suikoden 2.
and
Legend of Heroes 3 (think it might be LoH 2 in the west) original not remake - the White Witch (think it's translated as Moonlight Witch).

Played these ages ago and still remember them. I seem to be less emotional about games these days. Oh but FF7 never did anything for me back then either.