Did we already have a thread like this this? I dunno, but I'll go with it anyway.
This is a difficult thing to discuss on a forum without going into spoilers, so I'll as everyone to try and avoid that as much as possible, but everyone should consider themselves forewarned.
The Last of Us Part 1 and 2 between them could probably fill a top 5 of saddest game moments on thier own. Those moments with Sarah, Tess, Riley Frank and Bill, Henry and Sam, Yara and Lev, it goes on. Hopes are built up and dashed a lot in these games at just the moments where it can have the most impact and that's what make these moments in TLOU so powerful.
Life is Strange. This is another series that can play those heartstrings like they were on a harp. Because the games are based on chooses, it even has something over games like TLOU because it's very likely you are, at least in part, responsible, so it hit's home that little bit more.
The end of the first Walking Dead Game by Telltale. Again to avoid spoilers I wont spell it out, but even knowing that this coming moment was inevitable for a decent chunk of the game didn't make it any easier to watch. I found this moment was done really well, though. The pacing and atmosphere really was spot on.