The endings to persona 2 IS (haven't finished EP), 3, 4 and Labrys story in arena all made me a little teary-eyed.
To the moon, when you realize what all the origami-bunnies that River made were about.
The ending to Legend of heroes: trails in the sky, left me a bit hollow inside too. Such a nice surprise of a game that was.
Katawa Shoujo digged up a ton of feels, especially during Rins story.
The death of Jenny and that ending in The darkness. Holy shit, kinda wish that it would've ended there even though I thought the sequel was alright.
I am a quite emotional person, so it dosen't take that much to tear me up, but these are some of those I remember more clearly, that stuck to me more closely.