I cry all the time with games. 8/
The saddest scene in a game I've played, hands down, was the ending of Crisis Core: Final Fantasy VII. You know it's coming but from the moment Zack is reading Aerith's final letter, I was crying. It was just so perfect, tying in cutscene with actual game/battle mechanics.
Other than that:
Elite Beat Agents - The song with the girl whose dad dies fffffff.
Final Fantasy X - Ending.
Final Fantasy XIII - Ending.
Kingdom Hearts II: Final Mix - added sceen on the clocktower with Axel and Roxas
Kingdom Hearts: 358/2 Days - Ending with Xion and Roxas.
Kingdom Hearts: Birth by Sleep - Epilogue.
Kingdom Hearts: Re:Chain of Memories - At the end when Naminé cries.
Okami - cried at the end, and at that... paper's death? Tobi or something?
Pokémon Mystery Dungeon: Explorers of Darkness - OMG THE ENDING. I CRIED AT A POKEMON GAME /fail
Professor Layton and the Unwound Future - ending again. oh my god I cry whenever I see this.
Tales of the Abyss - Ending after doing the contamination effect sidequest (it doesn't change the ending but gives it more meaning)
I love when a game tugs on my heartstrings. It happens a lot more with games than it does other media simply because you tend to spend 30+ hours with these characters and seeing things happen to them can be so sad.