Super Metroid has several, mostly dealing with the Giant Metroid (the adult form of the baby Metroid that imprinted on Samus in Metroid II).
The first time we see it, it swoops out of nowhere in Tourian, latches onto Samus, drains almost her entire energy reserve... and then lets go and floats away. As it does so, it lets out several confused sounds, and you realize that its cries mean something very close to "Mommy?"
The part that does it is that the Metroid only lets go when Samus' low-health alarm starts beeping. Remember Ridley's assault on the research lab? The last thing the baby Metroid remembers about Samus is Ridley attacking her and setting off her low-health alarm (unless you're a preternaturally good player, but still.)
During the final battle with Mother Brain, Samus is nearly killed by its penultimate attack, injured to the point where she can't even stand upright. As Mother Brain prepares to finish her off, the Giant Metroid bursts into the room and grabs it, sucking the life out of it to save its mother. It then settles onto Samus, restoring her health... at which point the Not Quite Dead Mother Brain gets up and attacks, as the metroid takes the blows. Gamers find themselves heartbroken by the death of an alien jellyfish... and relieved when the resulting Mama Bear moment from Samus lets them make Mother Brain pay by blowing its head off of its neck. With a weapon so powerful that Mother Brain's remains crumble to dust before your eyes.
This scene was recreated in full 3D graphics complete with Samus's horrified expression in the introduction of Metroid: Other M as a flashback sequence. It also adds in her ''reaching out to the baby as it's mortally wounded in a futile attempt to do anything.
Adam: Samus, this is your last mission. Go to the Operations Room and alter the station's orbit path to intercept SR388. Set the self-destruct, return to your ship and escape. Move quickly, and stay alive... Any objections, Lady?
Also, the 75% ending of Corruption is incredibly sad, with the usual "Samus takes off her helmet" scene, but instead being triumphant, it shows Samus sitting all alone in Skytown, reminiscing about all of the other hunters she was forced to kill, and gazing off into the horizon, looking very wistful and unhappy.
Ghor's death is also sad, due to the fact that Samus is shooting away at Dark Samus in a futile attempt to save him.
Which leads into Gandrayda's death. Gandrayda staggers back, losing control of her shapeshifting, and eventually settles into Samus' form. When Dark Samus appears, Samus doesn't even try to shoot Dark Samus this time. She knows that there's absolutely nothing she can do to save Gandrayda. All Samus can do is stand there, with a fist clenched in silent fury as Gandrayda dies.
Prime 2 has couple in the form of logs, but one always stood out for me; a not-even-logged scan of a female Luminoth dead near a gate. The scan indicates she died of malnutrition, adding the note "She remained at her post even though she was starving to death."
The final log of the GFS Tyr. They're damaged but manage a landing, everything's going fine, and then... "INCOMING!! They're closing in fast... I need backup... I need backup!!" Followed by fifteen seconds of horror as an army of Dark Splinters proceed to rip the Marines limb from limb. The true Tear Jerker comes at the end, though; as the log ends, Samus looks out at the crash site, shaking her head at the futility of their deaths, and then kneels next to Captain Exeter's body and closes his eyes through his broken visor.
Or the playable epilogue. You go back through the ship to retrieve an item that "cannot be replaced." It turns out to be Adam's helmet. Samus picks it up, and then reminisces of Adam in the control room watching her as she plans to go to Sector Zero. Adam is like "No! Samus!" with a pained and worried expression on his usually neutral face, and runs off to go to intercept her, leaving his helmet behind. After this, it cuts back to Samus, who then hugs the helmet. Then out of nowhere, it's time for the escape sequence! This is all done with NO monologue either. And the music...
Even a boss gets a Tear Jerk moment. After beating the Draygon, she'll drop to the floor and her three children will mournfully bury her. Samus had inadvertantly orphaned three innocent sea creatures. Nice Job Breaking It, Hero.
"Innocent"? Their siblings have tried to kill you throughout Miridia.
The fate of Bryyo, especially the last Science Lord, who realized the damage they had done to their planet and desperately attempted to merge magic and technology and find an heir to keep the newfound technology alive and trying to keep the rest of the planet from dying...then the rest of those who practiced the old ways found him.