Castlevania: Order of Ecclesia. Pretty much any scene involving Shanoa and Albus counts, but the major tear jerker comes at the very end, when the now dead-by-your-own-hand Albus, who had given up his soul to Dominus in order to spare Shanoa from making the same sacrifice, takes off for the afterlife after seeing Dracula's end.
Albus: If you want to repay me, you can grant me one final wish... Smile for me. Please... before I fade away. And Shanoa does, as a single tear runs down her hitherto-stoic face.
On that note... The whole series from Dracula's viewpoint. Yes, Dracula is a monster. Yes, his life sucks, basically because Love Makes You Evil... And also there is the pieces of art by Kojima with him holding his first and second wife in the exact same way... A tearjerking continuity nod.
Oh by the way, to add this up further? In the Japanese version, Alucard was practically sobbing while he was uttering his mother's words to Dracula. So basically, even if his dad is an utter prick, it's still pretty sucky for Alucard to beat the crap outta him just to convey his mother's words.
Dracula: Tell me... What... what were Lisa's last words? Alucard: ...She said, "Do not hate humans. If you cannot live with them, at least do them no harm, for theirs is already a hard lot." She also said to tell you... that she would love you for all eternity. Dracula: Lisa... Forgive me! Farewell... my son...
One final twist: the animated series gives us the scene of Lisa's execution. Dracula was even on his way home, and only a few hours too late to save her... solely because he chose to live with her as a man.
Regardless of the cheese value of song itself, the lyrics of "I Am The Wind" solemnly convey Alucard's character.
All things must end / Goodbye my friend / Think of me when you see the sun of feel the wind
Castlevania: Judgment has Golem's storyline: Golem spends his storyline trying to figure out if he really has a soul and hoping to find a place to live. During this process, his creator, Carmilla, declares he can never be human and tries to destroy him, and then Death notes that he has a soul, but tries to destroy him for no longer being a mindless servitor. Then, whilst Golem is reveling in the proof that he has a soul, Aeon reveals that if he leaves the time rift, then he will lose his soul and revert back to his mindless former self. However, unless he stops the Time Reaper who is creating the rift, all of humanity will eventually be destroyed. After hearing this, Golem makes a Heroic Sacrifice and battles Time Reaper, because "that's what a human would do". He ends up stranded in ruins, a mindless beast once more, and ends up being destroyed by some random nameless nobody of a hunter.
Perhaps a saddening thing that crosses over with Fridge Logic is the nature of the portraits in Castlevania: Portrait of Ruin. First off, the Burnt Paradise and Nation of Fools. Burnt Paradise shows a carnival set on fire with nothing but monsters roaming there. A few posters have noted this may be where Brauner's actual daughters might have died and shows how his world turned upside down (much like the stage itself). The Nation of Fools shows somewhat the same material as Burnt Paradise. As fridge logic notes, given how Romania in 1944 had embraced Nazism and sent many jews, romani and romanians to the death camps, the boss of the area, Legion, a monster that wears LOADS of human corpses as a protective shell could represent the people sent away.
It can get worse. Take the Sandy Grave and the Lost City. It was around the beginning of the 1900s when the Egyptian Pyramids were being excavated and their stuff being taken to museums within Europe. This adds at least a little more emphasis when Brauner mentions within the Sandy Grave of how "humans despoil the natural world". The Lost City by comparison is one undespoiled and the monsters within probably represent "the mummy's curse".
Then there's the Dark Academy and the Forest of Doom. Both of them are broken down or horrifying academies with forbidden things being learnt or simply schooling left in ruin. Part of the Nazi Agenda was censorship of non-Nazism ideals and teaching them over other curriculums. These can respectively represent the Forest of Doom (other ways being left to ruin) and the Dark Academy (where bad ideals are taught).
Finally, there's the City of Haze and 13th Street. The most obvious impression one gets from these places is that these can represent Britain, specifically London. Sure, these look the least harmless, but think about the factor that Po R takes place in 1944. The City of Haze is deserted save for monsters patrolling it's streets, and the theme is called "Victorian Fear". Meanwhile, 13th Street looks the same, except that it's during the night at sunset. Or more explicitly, what appears to be sunset. What if the far off red light in the background is really fire? What if the City of Haze and 13th Street represent Great Britain before AND after the German Air raids respectively?
For a while, people were looking forward to a Metroidvania starring Julius Belmont in his youth, chronicling his truly epic adventure in finally killing Dracula for good in the Battle of 1999. Now with Iga having left Konami to continue the Castlevania Legacy with the Serial Numbers Filed Off with Bloodstained: Ritual of the Night (and thus not being allowed to make the story himself) and Konami generally showing no interest whatsoever in continuing those styles of games or even that continuity of Castlevania, it looks like that story is never going to be told.