Two games did it for me, more out of joy than sadness.
Chrono Cross was the first one. After everything I'd gone through in the game, everything all of the characters gave up, sacrificed, and all the people we lost, it was gratifying to conquer the final enemy, and see them all rewarded with peace and happiness for their efforts.
Final Fantasy VIII struck me even harder. It was my first exposure to the Final Fantasy franchise, at a time in game development and a personal age when seeing the ending was the only reason I slogged through these games. I played through it for three straight months, and seeing the resolution of everyone at the end, dancing around Balamb Garden, seeiing Laguna, Seifer, and the others find happiness and peace as well, and most of all, seeing Squall and Rinoa find love, all set to Faye Wong's "Eyes On Me", were more than enough to make me well up.
Also, sorry about spoilers, but these games are 13 years old. There's a statue of limitations on this kind of thing.