Final Fantasy VI - I cried because I unwittingly killed grandpa. XD Oh, and cause of a lot of the "finding friends" scenes during the world of ruin. (especially Setzer's and Terra's)
Professor Layton and the Diabolical Box - I cried a ton. At the ending. It was really, really ridiculous, but really sad.
Professor Layton and the Unwound Future - I cried a ton. At the ending. Again. Especially when Layton *gasp* took the hat off.
Shadow of the Colossus - It's just sad.
Braid - Cried for unexplainable reasons.
Final Fantasy Crystal Chronicles: Rings of Fate - Not the best game, but the story was outstanding.
Passage - An indie game, look it up. It WILL absolutely make you cry.
Pathologic - A horrible, disgusting, creepy game. Ir will make you feel grim and on the verge of tears. Do not play it.
Kingdom Hearts 358/2 Days - Not the best game (it's good at best) but that certain scene was. Yeah.
ICO - Pretty obvious too.
What Linus Bruckman Sees When His Eyes Are Closed - An indie game, look it up. The game wasn't really sad, but the ending just hits you completely.
Crisis Core - Obvious reasons.
Chrono Trigger - Yeah.
Elf Bowling - I cried laughing.