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 Big Smoke and before finding out that the power, cash, and drugs finally corrupted him. His lines "I made it, C.J.! I'm a success!" are particularly hard-hitting, because one gets the feeling that he's not only trying to convince C.J., but himself as well.
Big Smoke in general, really. He started off as a loyal member to the GSF, but then, before C.J.'s return, he and Ryder had no other choice but to align themselves with C.R.A.S.H. and the Ballas due to the Families' decline, and him seeing the opportunity to profit off of the drug industry. Ryder was easily convinced by Smoke, the Ballas killed Beverly, Tenpenny framed C.J. for officer murder, and the power Smoke gained had corrupted him. First he was The Mole towards the GSF, and then it culminated in him becoming a drug kingpin... for nothing. Because of Tenpenny's goal of eliminating all street gangs, even if Smoke did kill C.J., he would've had his power and his life taken away anyway. This combined with all of his pre-twist scenes, where he and to a lesser extent, Ryder, seemed genuinely friendly even with the Foreshadowing, and then his Alas, Poor Villain scene, where he finally realizes what he's become and genuinely regrets it before his death, really does make you think that Smoke, in spite of his failings, deserved better. No wonder why C.J. felt remorse...
C.J. also felt bad about the fact that he killed Ryder, his other homie, although this is ephemeral after Cesar tells C.J. that Ryder tried to rape Kendl.
Actually, the fact that C.J. kills his two friends in general can qualify. If you watch the introduction, you'll see that neither Smoke nor Ryder had any intentions of betraying their gang. Also, even though C.J. 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 abandoned, giving the impression that the State itself ends along with the game (and for being the final GTA game for PlayStation 2).
A sadder moment is certainly the end of the video "The Introduction", where Tenpenny and Pulaski sent some Ballas to kill C.J.'s mother. And what makes this scene even sadder is the music. Unlike other deaths in the videogame itself, which are even played for laughs, this scene completely played for drama.