Well I can't come up with an event that made me particularly sad but 2 games have managed to get an emotional response out of me but in both cases it was empathetic rage in The Force Unleashed 2, and God Of War 3:
SPOILER ALERT
tfu2: the moment when Starkiller confronts Vader who has taken Juno hostage, who tries to strike Vader who telekenetically hurts and throws her out the window, followed by Starkiller going into a rage and me along with him where the only thing we desired was Vader battered broken and killed. My exact thought process was once the moral choice got brought up "TO HELL WITH THE CANNON VADER DIES NOW!!!" this was my first time playing through the game so anybody who played it would imagine my surprise at the ending I got from that choice.
GOW3: The moment when Pandora jump towards Pandoras box and sacrifices herself to get it open for Kratos, I was kinda sad at that part because by then even Kratos didn't want to sacrifice her, although once Zues appeared whatever sadness I felt evaporated and transformed into rage, which by then I had a pretty good idea what was going through Kratos's head mostly bc it was the same thing going through mine "DIE YOU SELF RIJOICE **** OF A GOD DO NOT GO PAST GO DO NOT COLLECT 200 EFIN DOLLARS JUST DIES AND GO TO HELL!" Ya when I game I get really into it.