I get pretty emotionally invested in the games I play (as well as the books I read and TV shows I watch; movies not so much, as they are short and sweet), so there's a few games that have ended up affecting me that way.
<spoiler=Brothers In Arms: Road To Hill 30 and Hell's Highway>When I find Allan and Garnet dead at the feet of Leggett at the end of that mission, I nearly flipped my shit. The next mission, I absolutely rampaged through those Nazis.
Of course, the Brothers In Arms games always screw with my emotions. I've yet to play a game that gets me to invest so much in the characters. And they end Hell's Highway with Red being paralyzed? You can bet that I'm going to go absolutely ape-shit on the Nazis when I play the next one.
<spoiler=inFamous>Already mentioned, but when Trish died, I was really sad. I wanted Cole to have a happy ending, even though I knew it was inevitable that he wouldn't.
<spoiler=Shadow of the Colossus>Poor Aggro. I loved that horse. It had so much character for a being that can't hold a conversation. Aggro was your only friend in that game. I was so happy when she walked into the temple when the woman woke up.
<spoiler=Call of Duty: Modern Warfare 2>I was pissed when they killed Ghost. Best character besides Soap in that entire game, and they just kill him. Damn, Infinity Ward. Just... damn.
There's a lot more, but there's a handful of the ones that popped into my head.