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Tear Jerker: Killer 7
Killer 7: right at the end of the game, when Garcian finally realizes that he's the only real member of the Killer 7, and he's killed all the other members in a previous life. He breaks down, and opens his case to find all the other guns of the other K7 members in it. Meanwhile, a very sad ambient song starts to play while Garcian just repeats "No! It was all just a big mistake! it wasn't me!...
For this troper, another one is in the Cloudman chapter, when you have to kill Ulmeyda once he's turned into a Smile. It's the text at the end that gets me: "The day when he stops smiling is the day we remember his smile."