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Tear Jerker: Clock Tower
From the third game, poor little May and her horrible Family-Unfriendly Death. And of course Albert and his blind mother. When Albert gives her the shawl, only to be violently murdered moments later I just bawled. Then of course there's Phillip's death scene. It doesn't make this troper cry in and of itself, but Nancy's line just before it, "Phillip darling! Father! Alyssa has laughed for the first time!" think about it.
And seeing Alyssa's mother dying right in front of her. The worst part was Alyssa and Dennis totally downplaying it in the ending.
Also from the first game, Jennifer finding her father's corpse is a combination of this and terrifying.
The way certain endings yank poor Jennifer's chain. If you reach the clock tower without triggering a death scene for at least one of your friends, you can find the other survivor waiting there for you... and then, if you haven't earned the S rank, Diabolus ex Machina rears its ugly head. To have Jennifer come so close, and yet so far...