Baldur's Gate II. Yoshimo's death. The fact that he's the only proper thief in the game is also sad.
Jon Irenicus's speech to Ellesime at the Tree of Life helped to humanise and add tragedy to a character who up until that point had been an unrepentant, sadistic Magnificent Bastard.
I... I do not remember your love, Ellesime. I have tried to. I have tried to recreate it, to spark it anew in my memory. But it is gone... a hollow, dead thing. For years, I clung to the memory of it. Then the memory of the memory. And then nothing. The Seldarine took that from me, too. I look upon you and I feel nothing. I remember nothing but you turning your back on me, along with all the others. Once my thirst for power was everything. And now I hunger only for revenge. And... I... Will... HAVE IT!!
At the end of Throne Of Bhaal, if you're in a relationship with Jaheira, her reaction to whichever decision you make is worthy of the name Tear Jerker.
The ending Where Are They Now stories for party members are often quite Tear Jerker-y. At least, Minsc's "they're together still, up among the stars where hamsters are giants and men become legend". Viconia's romanced ending where her past finally catches up with her and she is denied even the experience of seeing her son grow up by the ever-scheming Lolth and her followers is also liable to make your eyes water.
Kelsey's romance mod can make players tear up every time. Not helped by the almost sobbing of the voice actor.
Kelsey. Tree Of Life. "So let me just say this. I love you. I need you. And I am with you until the end." It's voiced. Cue waterworks!
The Master Wraith in Throne of Bhaal WILL tear up your romance option, but none came close to utter heartbreaking like Aerie. To wit: he conjured an image of her mother, who proceeds to blame her for getting the latter killed by more sadistic slavers, all because Aerie dared to go missing from her. Aerie may be a little too whiny for her own good, but on the other hand, hearing her completely break down sobbing and begging it to stop is just too much.
Even worse, when it's the other original romance options doing these things, the only things voiced are the illusions of their loved ones, the victim does not have voice acting. Aerie? Her whole breakdown is voiced, so you get to hear Kath Soucie making her sound completely desperate and in anguish, and goddammit it was that effective to show the trope Break the Cutie.
In the Tales of the Sword Coast expansion for the original game, the resolution of the Werewolf Island subquest is rather tragic. There is one particular character — the friendliest one in the village and pretty much the only one who doesn't hold your outsider status against you — who you can do favors for such as retrieving a cloak and delivering him/her (depending on your player character's gender) flowers. If you pick the nicer dialogue options, the journal entries reveal that you are becoming increasingly fond of him/her. If you offer to take him/her with you to the mainland to start a new life together, he/she will consider it but ultimately refuse out of fear and lingering attachment to the village. That's sad enough. After The Revealthat the villagers are all dangerous werewolves, he/she helps you to evade them and shows you an escape route. Your new friend and nascent Love Interest still refuses to leave and decides to fight the other villagers to buy time for you — and it's heavily implied he/she doesn't survive. The journal entry covering this ends with the words "...I wish..."
There is, however, a mod in the works which will allow said villager to join your party in the second game (and even become a full fledged Love Interest). So a nice Fan Retcon on what would otherwise have been quite a Downer Ending.
Many Bhaalspawns in Saradush don't want anything to do with their heritage and just want to go on with their lives. It's also heavily implied that Bhaalspawns will end up in the lower planes when they die, regardless of alignment and by all accounts, they all die when Saradush is destroyed.
Speaking of Saradush, delving into Yaga-Shura's backstory is something of a tear jerker all of its own; not because it makes him any less of a monster - if anything it just makes him worse - but meeting his adoptive mother Nyalee is a pretty tragic experience. She explains to you that in life, she was a priestess of Bhaal who adopted Yaga-Shura in infancy. Although Bhaal would have wanted her to kill him as a baby, she raised him as best she could and even helped him achieve invulnerability by cutting his own heart out and placing it in a Soul Jar. He then did the same to her to prevent her from undoing her work; this comes back to bite him on the ass in a big, big way when her shade is only too happy to help you render him vulnerable in exchange for the return of her own. The tissue-wiping starts when she restores her own heart and remembers her emotions, including her lost love for the giant she raised as if he came from her own womb...
"And... there. It be done, a simple thing, it is. The boy's heart is cold, now. As... as cold as his mother's old heart... You... you will hurts my boy, won't you? No... no, what has Nyalee done?! My poor boy, the spawn-child will hurts him! Nyalee must stops him/her!! Come, spirits of the glade! Come, woodsies of the forest!! We... we must protects my boy! My precious Yaga-Shura!!"
Jaheira finding Khalid's corpse at the beginning of Baldur's gate 2. This is the first time the rather stoic Jaheira breaks down crying. And even if you consider him The Scrappy, it's rather hard to not break down.
A short line from Imoen, after the revelation of her Bhaalspawn status.
Imoen: I don't feel like I fit in with the people of the city anymore.