Certain players nearly wept in tears when Roman got kidnapped by Dimitri's henchmen and Niko had to save him. Imagine if your cousin gets captured by your so called mentor Dimitri and had to fight all the way through without help.
The 2nd to last mission of Grand Theft Auto IV. In the previous mission you were given the choice to either strike up a lucrative deal with the person who screwed you over earlier in the game or take revenge for said screwing over. Which one you pick determines what happens in this mission.
If you pick "Revenge" Pegorino kills Kate shortly after you tell her you're done with your life of crime and that you may want to settle down with her. And Niko cries at the loss of Kate. It's really difficult not to tear up a bit for Niko.
If you pick "Deal" Kate breaks up with you for being a greedy jerkass. Made worse for the fact that Roman gets shot at his own wedding and Niko goes into a Heroic BSOD, clearly distressed of his cousin's death. This scene is more devastating and more tragic for the fact that Dimitri was behind of all of this.
Made even worse by the post credits phone call Niko receives:
Revenge ending: Packie phones in tears over how, in the space of a few months, two of his siblings have been murdered and one has a long prison sentence, leaving Packie with only his mother and a brother who is a drug addict or a corrupt murderer.
Deal ending: Mallorie phones Niko and tells him that, due to Roman's death, she's not only pregnant with his child, but never got the chance to tell him, and will now be forced to raise it without a father.
Especially when Niko says "You fucking bitch!". He doesn't sound angry as much as he does distraught.
Roman yelling at Niko how they lost everything after their homes are burned down during the Yugoslav Wars.
Some of the date dialogue with other characters gets depressing sometimes. Dwayne's reveal about how crappy his childhood was, Kate's drunk dialogues and Patrick's anger about his dysfunctional family stand out.
One of the conversations that Niko has with Kate where he reveals what really happened to Roman's mother, the woman who basically raised both of the cousins.
You get a retroactive one when you play The Lost and Damned and realise who the biker was you had to kill in chase through the subway. This can even apply to the nameless other biker who acompanies him.