This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Grand Theft Auto IV
Certain players nearly wept in tears when Roman got kidnapped by Dimitri's henchmen and Niko had to save him.
The pause menu theme. It sounds pretty dark and depressing.
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 B.S.O.D., 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.
Packie's dialogue details an abusive relationship with his father as he opens himself up to Niko, culminating in an attempt at molestation.
Hell, Packie's dialogue in general about how miserable his family is. He recounts a fight between Derrick and Gerald when they were younger that was so violent he thought one or the other of them was going to die. They only stop when they see Kate huddled in the corner and crying, having seen the whole thing.
If you choose to kill Francis in "Blood Brothers," Packie merely looks inconvenienced at the funeral and speaks rather casually about the deceased, even joking about him while riding in the hears with his brother's body. If you kill Derrick instead, Packie seems emotionally destroyed.
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 accompanies him.
All the plot in "That Special Someone".
After you kill Mikhail Faustin, his number will still remain in your contacts up until mid-Algonquin. If you decide to call his number, the voice message is replaced by his wife, Ilyena, telling callers to leave her and her daughter alone out of sympathy for her husband's death.
Ilyena as a character herself - The cutscenes for Mikhail's missions sometimes start off with her arguing with Mikhail, only to storm off crying. During "Final Destination", she lets Niko in for tea, reminiscing when her husband cared for her, only to change as a result of his drug addiction. Mikhail then comes in, throws away the samovar for making them look "barbaric", and tells her off. When Niko meets her later at Firefly Island, her husband's death causes her to lose her husband's luxurious house and is forced to move in with a small apartment with her daughter, who is having an affair with a "slimeball", worried that he will turn her daughter into a hooker "or worse". During the encounter, you have a choice of beating up the slimeball (resulting in Ilyena thanking Crypto for saving her daughter), killing the stalker (resulting in Ilyena getting angry at Niko for killing a man, calling him Not So Different to Mikhail), or letting him run away (resulting in Ilyena lamenting that her daughter has run away and she is now alone). It really shows how affected she is by Mikhail's death.