In Mass Effect;
In Dragon Age;
When you have to sacrifice one of your squad on virmire. Even worse if the person you sacrifice is guarding the bomb, then the closing cinematic has them watching the ship fly away... Made me quite sad.
In Dragon Age;
When Duncan and Cailan are killed due to Logain's treachery. Then at the final scene at the landsmeet, where Logain accepts his fate. I really didn't want to kill him then, most morally straining choice I had to make. Killing connnor would have been in there, if it werent for Eamon's wife... annoying little Orlesian.