FF XIII-2 and X(and X-2 could probably be counted in here with the 100% complete, twas a good set those two were)
KH1
rolands death part, not sad but shocking, and bloodwing *tears were had at that part ;~; (i'm a mordekai boy)*
there are some other games that i could list but a lot of them have been listed already (LoU, Bioshocks, heavy rain, etc etc)
and yes, i did cry at XIII-2 because i loved the whole story and then... ;~~~~~~;