The original's "good" ending, in which you grow old with the Little Sisters you saved, and you finally have the one thing you were denied: a family.
Saving each Little Sister is a minor CMOH in itself: you put a gentle hand to their brow and hear them gasp/sigh, along with a few bars of Garry Schyman's achingly sweet violin theme, as everything goes white. When you can see again, she thanks you and scampers off to the nearest vent.
Bio Shock 2's ending, in which Delta lives on through Eleanor.
In BioShock 2, sparing Grace Holloway's life, and her amazement after you leave.
Grace: You had me under a gun... and yet you just walk away? No monster alive turns the other cheek. No monster does that. A thinking man does that.
Even better, look at the statues in the Little Sister sequence. They show how Eleanor interprets your encounter with her. It shows Delta carrying Grace heroicly in his arms.
In BioShock 2, there's a diary whose owner couldn't be more than 5 years old, named Billy Parsan. In it, he tells a Little Sister that he thinks she's cute, her Big Daddy reminds him of a Comic Book hero, that he bought her a gift and stored it someplace that no one else could get it, and said he'll wave to her next time he sees her. I guarantee you will go "D'awwww!"
Even more so when you go to where he says he left the gift: It's a rose. Heart: Broke.
Heck, there was a Crowning Moment in the very first trailer ever shown for the game. We get a savage battle between a Big Daddy and the player ending with the player getting gored to death by the Big Daddy's drill. Then a camera cut to the Little Sister cowering on the ground. The Big Daddy stomps into view towering over the little girl, his drill still covered in blood, and reaches out his huge hand to help her up. That single shot let me know that this game would be different.
Big Daddies in general draw an inexplicably perfect balance between terrifying and CMOH.
Even playing as Delta gives you the feeling of being a sort of Frankenstein's monster.
Then near the end of the game you can see the world through the eyes of a Little Sister and one of the first things you see is a two story high golden statue of a Big Daddy in a heroic vein looking something like a knight Templar or a paladin. Also all of the other statues you pass during the mission are of Big Daddies being heroic- protecting people and defeating monsters. It's nice to know you're a hero to someone after all.
The very FIRST thing you see is Delta, pimped out in gold and white and looking like a comic book superhero. The statues you mentioned are of Delta's actions throughout the game ("Daddy Meets Aunt Gracie", "Daddy Meets Uncle Stanley", "Daddy Meets Dr. Gilbert"). Of course, even if you killed them, the statues depict it as more of a "righteous fury" type of thing (you ARE looking through the eyes of a Little Sister, after all). The entire mission also doubles as scary for some.
The moment in Fontaine Futuristics that Sinclair says that he feels sorry for Big Daddies. It was good to know that the current Atlas-analogue was a good person.
Even better, Lamb constantly reminds you how shifty Sinclair is and how he most likely only acts out of trying to get a profit. But he never betrays you and even advises you to do the good choice to several situations and even tells you how there is a way to make you human again. In the end all he wants is to do something good after all the bad he did in the past. Not only that but he actually proves Lamb wrong.
Sinclair is thus after a fashion the antithesis of Frank Fontaine and in many ways the real Atlas to the fake persona Fontaine created.
When Sinclair was turned into a Big Daddy, he doesn't blame Delta for trying to kill him and ask him to "Stick it to Lamb and let young Eleanor see the sun."
Minerva's Den. We FINALLY get a guy, C.M. Porter, who goes to Rapture who 1) Isn't a complete ass. 2) Smart enough to see through Ryan, Fontaine, Atlas, AND Lamb. 3) Resists one of the primal temptations and shuts down the AI construct he made of his departed wife, knowing that it wasn't her or what she would wanted. At the end we see this poor man's grief, and how he refused to let it break him or twist him like so many others in Rapture. And the best part is that HE LIVES!
He's also similar in some ways to Bill McDonaugh. He was loyal to the ideal of what Rapture could have become yet never lost his humanity in the process. Until becoming Subject Sigma he never really spliced himself up or let himself get swayed into the madness like so many others. And was by most accounts one of the nicest people in Rapture, even during his worst moments; in fact (similarly to Bill and his family) he loved his wife so much that he won't let himself recreate her via the Thinker. If anything, he's vindicated what Bill stood for.
If you've been saving the Little Sisters throughout the first game, you'll see all of them playing in Tenenbaum's sanctuary. They basically start heaping praises onto you and say you're going to save them. That fact alone can give you the fuzzies.
In BioShock 2, when you get the Hypnotize plasmid, you see a pair of splicers slow-dancing, acting completely enamoured. It was obvious that you were supposed to use the plasmid to turn them against one another, but it brought back fond memories of this troper's home-coming semi-formal. He just couldn't bring himself to harm either of them, and left the area without killing either of them. It was the sweetest thing he'd seen in Rapture for a long time...
One of them even brought a gift!
Fridge Brilliance / Horror - after what Lamb did to you with the very same plasmid, years ago, you'd have to be as much a monster as she is to inflict the same on another. "So," the game asks, "are you?"
In the early parts of BioShock 2, it's possible to find the audio diaries of an industrialist by the name of Prentice Mill: he apparently founded and owned the Atlantic Express railway, and from what can be heard of him, he was also something of an arrogant jackass. However, private bathysphere travel made his railway obsolete, and the bank crash that followed the New Year's Eve Riots left him completely destitute: his last audio diary mournfully notes that he has no family, no friends, and nobody likely to miss him. So, why is this not a Tear Jerker? Well, you find this last audio diary on a small shrine in Pauper's Drop, one built specifically for him. It's not known if he only stayed in the Drop long enough to kill himself, or if he made some kind of life for himself; all that's known is that someone cared enough to leave a memorial to him.
This one is ridiculously minor, but it's still pretty striking. In the first game, there's a Splicer model and voice pack called Toasty, who's deluded himself into thinking he's some sort of Casanova, making flirty comments half the time, but switching to misogynistic comments as well when he realises the flirting doesn't really work. In the second game, that Splicer model comes back, but with changed lines. All the mysogonistc comments are dropped, and most of the flirty ones are too. Why? Because, wether it's real or just in his head, he says he's gonna be a dad! Even in the watery hellhole that is Rapture, he's just worrying about the nursery room and his wife. True or not, it's amazing to hear someone so excited about something so normal. Of course, this may cross over into Tearjerker too...
Depending on your actions, when you are temporarily a little sister the statues you encounter on the way can be either this or nightmare fuel: one of the statues, the one representing how you treated Stanley Poole either shows you killing him, or helping him stand on his own two feet again. The one representing Gilbert Alexander is perhaps the most impressive: if you did the right thing, it shows Delta pulling a man out of a monster.
Near the end of Bioshock 2, there's a big one for players who have been good. Big Daddies have yellow portholes as a default, red when they're attacking, and green when they're hypnotized. Big Sisters have red. Always. Until, looking through the eyes of a Little Sister you're possessing, you see Eleanor Lamb towering over you with a green porthole, as she reaches down to release the Little Sister from her slug, while talking about how you've taught her to be good.
The Thinker you have an advance A.I. who isn't sinister, or out kill all humans. Instead it impersonates its creator who was turned into a Big Daddy, and its uses its advance capabilities to find a way to save him, and regain his old memories.