Bioshock 1, the 'grand reveal' scene and the death of Andrew Ryan.
TES 4: Oblivion, when Martin is giving the speech to the troops at Bruma.
KOTOR 2: TSL, when you meet the Jedi Masters at Dantooine.
Halo 3, when Miranda died, the Arbiter killed Truth, and you find Cortana.
Fallout 3, when your father dies and then you die.
Fable 2, your sister and dog gets killed.
Mass Effect 1, where you convice Saren to kill himself.
Mass Effect 2, when you walk out to the bridge in the beginning and see a giant hole in the Normandy and when you die.
Dragon Age: Origins, the end where someone has to die.