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Tear Jerker: Heavy Rain
About every other chapter in Heavy Rain qualifies, but to be short:
The first chapter is a slow, plodding piece about a birthday party. Ethan plays with his kids, designs a house, all that stuff. Then the second chapter starts with JAYSOOOOON! dissapearing in a mall, only to be run over by a car right after Ethan finds him. The next chapter is two years later, with Ethan a dispondant wreck, Shaun almost totally unresponsive, and the entire world going from bright and happy to grim and crumbling. A very effective use of Mood Whiplash.
This troper bawled for a good 5-10 minutes when Jason was killed.
Related to the above, "I feel nothing but contempt for you, Scott. Nothing but contempt." Turns someone who's already queen of the Woobies into an even bigger one. All the worse if, like me, you played through the first time making Scott the nicest guy possible and shipping him with Lauren. Augh, that Player Punch...
Any ending where Shaun and Ethan live, but especially the Golden Ending. You went through five kinds of hell and the bullet point above, but it's all worth it, because you saved them and the surviving characters can move on with their lives.
The scene where Madison visits Ann Sheppard in hospital. Watching this frail, desperately lonely old lady attempting to remember details about her past is just incredibly sad.
Especially when she gets to remembering about her son, and how she couldn't visit him after she got sick. "He must have thought I didn't love him anymore..."
The music in Heavy Rain also plays a huge part on the impact of scenes. This troper can be walking along on a bright sunny day with her MP3 player on, and when the Main Theme comes on, all she can think about is poor Ethan. She's also glad she can now use hayfever excuse for being a little teary.
The absolute worse. Maybe it's the way it was delivered, maybe it was the circumstances that lead to it, but it's devastating: "Dont forget about me Scotty..."