Might not be in the game, but the ending of Destroyer certainly qualifies. Zayne finds out that Chantique lied to him, and turns to try and make amends... only to see that Jarael is gone.
When you about to deliver the rakghoul serum to the infected outcasts, three of them immediately mutate just moments away from being cured. It is heartbreaking to kill them knowing that you were just a few seconds late from saving them
Juhani's distress and sadness at having killed her mentor always brings a tear. It's nice when she finds out she didn't kill her - it was all a character test.
What makes this worse is that you can make a persuade check to convince her that she's forgiven. If you fail, she just sadly says that you're lying to her and waits for you to kill her. It's one of those things that really makes you want to hug her and tell her it's OK.