Conker's Bad Fur Day is basically the Mrs. Doubtfire of games. Sure, it's vulgar, but it was so silly, comical and innocent all the way through, and then, the Sudden Downer Endinghits the player unexpectedly in the face. What really hammers the downer ending and feelings of sadness in your face is Conker's last few lines before the credits about not knowing what you have until it's gone, and the music that plays after said scene during the credits; you'll probably find it very hard to find a game with humor like Bad Fur Day's that uses such a sad track in an actual serious moment rather than a part parodying another thing's sad moments. Really, the end credits theme is a pretty powerful track that just adds to the feeling of sadness in Bad Fur Day's ending.
Conker: "So there I am. King. King of all the land. And whoíd have thought that? Not me. I guess you know who these guys are now. I certainly do. I donít want to know them. And, yep, I may be king and have all the money in the world, and all the land, and all that stuff, but, you know, I donít really think I want it. I just wanna go home, with Berri, and... I donít know... have a bottle of beer. Hmm. *sighs* Itís not gonna happen. Itís true what they say: the grass is always greener, and you donít really know what it is you have until itís gone. Gone. Gone...."
Berri's death, and her heavy breathing as she succumbs to the wounds and dies in Conker's arms before the final battle. To twist the knife in even further, Conker even blows his chance to revive Berri when he has it. He realizes this mistake just after the programmers have left, and tries in vain to get them back. Truly a morbidly Cruel Twist Ending.
The ending they scrapped was even worse; originally, they had planned an ending where Conker goes up to a mirror in the Pub from the game's bathroom, starts sobbing due to both Berri's death and his unhappy situation of being king of a land he doesn't care about surrounded by people he doesn't like, and then pull out a gun and point it to his head; the screen would go blank and only a gunshot would be heard, implying that Conker committed suicide. This ending was changed due to the fact that Rare and Chris Seavor wanted to be able to make a sequel to the game and scrapped this ending because it didn't leave room for one. Granted, the ending they did choose is still depressing, but nowhere near the level of the scrapped part of the first downer ending.
While not totally tear-inducing, hearing the Sergeant's speech during the It's War chapter, which pretty much describes how tragic war is, and how romantic politics makes it out to be is all too truthful. Hell, the whole chapter can be depressing when you see an army of innocent soldiers being massacred in a matter of seconds.
Not really much of a Tear Jerker, but just the fact that we might never get to see a true sequel regarding Conker's resolution to his depressing dilemma. (Unless you count the fan fictions.)