This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Grand Theft Auto: San Andreas
The death of the CJ's mother in the video "The Introduction".
The death of Big Smoke and before finding out that the power, cash, and drugs finally corrupted him. His lines "I made it, CJ! I'm a success!" are particularly hard-hitting, because one gets the feeling that he's not only trying to convince CJ, but himself as well.
CJ also felt bad about the fact that he killed Ryder, his other homie, although this is ephemeral after Cesar tells CJ that Ryder tried to rape Kendl.
Actually, the fact that CJ kills his two friends in general can qualify. If you watch the introduction, you'll see that neither Smoke nor Ryder had any intensions of betraying their gang. Also, even though CJ made a lot of new friends, he also lost two of his childhood friends as well.
When the ending credits roll after you complete final mission, it might not be sad unless you realized this is the last major GTA game (not counting twogaiden games) for PlayStation 2. Also, just like Vice City's ending credits, the State of San Andreas appears to be empty.