I'm not really a crier when it comes to games, but what brought me close most recently was when I was doing a run of the entire Metro trilogy for the first time.
::: spoiler Spoiler ahead for Metro Exodus
If you're doing the good ending run of Metro Exodus, then you spend most of the game beating the odds and being able to save everyone...
So watching Colonel Miller, someone you become fairly attached to throughout the series, succumb to radiation poisoning while you drive out of Novosibirsk, knowing that there was absolutely nothing I as the player could do but watch was heart-wrenching.
He'd completed the mission, but he just couldn't make it home - it's such a bittersweet ending, but including his speech at the end, it's a good one.
:::