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Tear Jerker: Mega Man X
Many of the Mavericks may come across as Grade A Jerkasses, but, if you looked into the backstories of several of them, you'd find out that quite a few were actually innocent casualties that meant no harm, but were forced into their position by several circumstances (such as being forced into submission, infected by a virus, etc.), such as Magna Centipede, who was kidnapped by Sigma and brainwashed into becoming maverick. What makes this a true Tear Jerker is that several, such as Storm Eagle and Shield Sheldon, seem to have resigned to their fates that their lives would end very soon, and they might as well give it their all before they literally Go Out With A Bang.
Worse was the Manga adaptation of Storm Eagle: He was still a good guy. He was the Maverick Hunters' inside man, but he couldn't break cover until it was too late.
Iris' death in Mega Man X4. In particular, Zero's reaction to it, and his cold outlook on the world afterwards.
X's objective since the very first game is to fight for a world where humans and Reploids co-exist peacefully. Dr. Light even expresses this wish in his video to Dr. Cain in the ending of Maverick Hunter X. How does it all end? Peace is finally achieved when Zero sacrifices his life at the end of Mega Man Zero 4, but neither he nor X live to see that peace.
The take done by Lucas Gilbertson (Zero's VA for MMX8, MMXCN, and HMX) of it is also a fitting example. And something of an awesome moment as he did it on his own free time.
Axl's scene about Red's death is no less of a tear jerker then that of Zero, perhaps even more so adding to the music accompanying in the background. Again, however, this only applies to the Japanese version; the English version is turned into Narm, as Axl sounds less "grief-stricken" and more "on the verge of throwing a childish temper tantrum". Here is a video of Axl's Japanese version of him screaming at a dying Red, starting at 5:00.
Zero's final moments during his ending in X5. Utterly broken and defeated, he finally remembers what he was built for, apologizes to Iris's memory, and says that the world will finally be peaceful when he dies, right before he says goodbye to his best friend X.
Given that Mega Man X5 was originally intended by Keiji Inafune as the final chapter of the X saga, it would have been Zero's final demise — until he is revived in Mega Man Zero.
X5's remix of Dr. Light's Mega Man X theme...even sadder than the SNES one.
The Alia and Gate track from Mega Man X6. It's a haunting piano melody that plays when Alia is talking about the Nightmares to X or Zero, but it sounds like what'll play if somebody recently died. Even sadder when it's pitched down.
The unused track for Zero's death in X5 is even sadder than the one they ended up using in some ways.
The ending narration for the first game.
The war has ended for now and peace has been restored. But those who sacrificed themselves for the victory will never return. Exhausted, X gazes at the destruction he helped cause and wonders why he chose to fight. Was there another way? Standing on the cliff, the answers seem to escape him. He only knows that he'll fight the Mavericks again before he finds his answer. How long will he keep on fighting? How long will his pain last? Maybe only the X-Buster on his hand knows for sure...
The flashback of Dr. Light in Maverick Hunter X, as well as the recording. Seeing Dr. Light with an Incurable Cough of Death, telling X or whoever finds X his hopes and dreams, and lamenting how he won't live to see them.
Zero's death after the fight with Vile in the first game. Made even more of a Tear Jerker in the remake with the voice acting and improved animation. In the original, Zero simply said his last words to X, who was kneeling next to him, and disintegrated without any dialogue from X. In the remake, Zero says his last words, clearly pained, while in X's arms. X's pleading for Zero to hang on doesn't help, especially when Zero finally goes limp and X quietly lays him down. Seeing Zero's remains laying there sparking is just the cherry on top.