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Tear Jerker: Baten Kaitos
Eternal Wings and the Lost Ocean
In the first game, when Kalas flashbacks to the day his little brother Fee died, while Kalas first cries, then with sorrowful fury vows to avenge Fee.
As everyone is preparing to leave Mira for the Alfard Empire. Lyude stands alone in the Duke's throne room tearfully wondering if he'll be able to confront his own people of their crimes, before he breaks down completely.
The death of Lyude's real mother, Almarde. Even Kalas was heartbroken.
The Phantom Goldoba. Throughout the dungeon, Lyude sees visions of his former comrades and his siblings which constantly berate him for the choices he's made, and then it culminates with him seeing his deceased foster mother, who tries to goad him into committing suicide.
Xelha gives back you, the Guardian Spirit, to Kalas after he abandons you.
In the ending, where Xelha sacrifices herself to bring the ocean back into the world. She gets better, but still...
Kalas mourning over her in the rain is just heartrending. Doesn't help that the music played is the most tragic song of the game. Deep Sea of Tears, indeed.
The conversation that Kalas and Giacomo share after Kalas delivers the fatal blow is very bittersweet. Kalas finally lets go of his anger towards Giacomo and tells him he doesn't hate him anymore, and just feels pity. Then Giacomo tells Amye and Folon to follow Kalas's orders like they're his own. It's all very moving.
The fact that Xelha personally sends him off after his death just adds to that.
Baten Kaitos Origins has one that was set up absolutely brilliantly. Guillo, one of the members of your party who up until this point has basically been a walking Crowning Moment Of Awesome - a total Bad Ass, a hilarious Deadpan Snarker, and great in actual combat, so naturally loved by the player - is revealed to be responsible for the death of Sagi's Guardian Spirit, Marno, and all of his True Companions. Since you have been having flashbacks showing Sagi what happened in his spirit's past, you get to see their whole journey end in absolute futility. Meanwhile the Guillo of the present (who remembered nothing from before being discovered by Sagi) is there watching the whole thing. Seeing Guillo beg Marno for his forgiveness after the final flashback is just so shocking, especially since it's so unusual for Guillo to do that.
Speaking of Marno's True Companions, there's also the death of Quis, and Seph's reaction to it.
After defeating an injured Lord Baelheit, Milliarde is nearly able to get through to him. Just as he is about to consider joining her and stopping the promachination madness, the supposedly renowned Spiriter Verus comes up behind him and quite literally stabs him in the back.
On that note, Lord Baelheit shooting Milly - his own daughter - in the face, just to prove a point.
The letter that shows up in your mailbox after Baelheit dies. At that point, most players will probably just run off to go after Verus and finish the game, so a lot of people probably didn't see it.
Guillo's Heroic Sacrifice immediately after beating the Final Boss, just when you thought it was all over. This gives Guillo's line to Milly following the aforementioned scene with Baelheit a whole new meaning. " Make sure you cry when this is done with. And I mean buckets. You'd better not let me down." She doesn't.
It's all the details they put in, just to make it all the more tragic. Milly being prepared to sacrifice herself, Guillo saying he actually liked her quite a bit, and Sagi's reaction to the whole thing. And the music, oh, that music.
Even before any of the above happens, there's the "heart-to-heart" that's the turning point of the game. Just as you finally figure out that you, the "Guardian Spirit" you, aren't actually a spirit at all, but Marno - a piece of Malpercio, Le Ali Del Principio starts up and Sagi starts raging against you - not for being Malpercio, but for never telling him anything about your true nature and burdening him with the trials of being a spiriter even though he technically wasn't. Hearing him talk about how he half-resented your presence all his life with Mio Sakuraba's voice singing beautifully in the background is just... Given the Baten Kaitos trend of breaking the fourth wall by including the player in the game as a "guardian spirit," you can feel like Sagi was actually angry at the player. This very quickly turns into a Crowning Moment Of Awesome when you decide to become a part of Sagi, rather than absorb him as Malpercio. Inspirational heroic music starts up, you lend Sagi Malpercio's power, and he obtains his Infinity Plus One Finisher.