At many points in Katawa Shoujo. (however, it was only a one time thing for the most part. After the going through once, the impact remained in my head, making it difficult for me to feel them [at the same level anyway] again)
To The Moon. [sub][sub]why did you have to forget, Johnny?...[/sub][/sub]
I felt rather touched, but no manly tears where shed from some moments in the Halo series.
Ending of Red Dead Redemption. It was very well done.
I'm farily sure there were more, but nothing else comes to mind at the moment.
EDIT:
Another one is Tomoyo: After. I don't mind things being bittersweet...but damn...