Assassins Creed II has several powerful moments, especially at the beginning, where Ezio watches his father and two brothers be hanged. Later on, reading some of the letters to Templars from their family members can be heartrending, especially Carlotta Moro's letter to her mentally-handicapped former husband, Dante Moro.
Another incredibly sad bit from ACII is the final The Truth video, where you hear what were probably Subject 16's last words before he committed suicide: My mind is gone. Lucy, I can't wait any longer. I'm ready to go now. She sees me raise the knife... Especially sad due to the contrast to the earlier Truth videos where Sixteen is barely managing to hold himself together due to the trauma of extended stays in the Animus. This time he is completely calm, and at peace.
The last codex in ACII is Altair's last writing, where he says he's not long for this world and doesn't think there's anything after this. After a whole game, a little scene in the middle of the 2nd game, and 29 codex pages you've come to know this man very well and are now reading the last thing he wrote before he died.
Seeing the cowardly Jacapo killed by Rodrigo is remarkably sad considering how pathetic he became.