Probably showing my age a little, but Final Fantasy VII. In an age before the internet was common, so spoilers weren't a thing, I went into that fateful scene fully unprepared. And I had spent so long developing that character as the party healer. I was not a happy boy and I am not ashamed to say that I well up even now when I think about it or see clips of it!
Other than that, Red Dead 2 ending prior to the epilogue. That got me!
Theres certainly a lot of game that make me cry but I cannot remember it but for recent one to me are final fantasy origin stranger of paradise after jack "The CHAOS hater" remember and fight with astos, which in order to achieve his goal to get out of the loop and save cornelia, he need to give false promise to astos over and over while their memory get reseted in the process hurting his feeling, because astos keep remember.