A lot of the Ultimate Jutsu finishing quotes are this. Certain standouts are:
Kakashi defeating Reanimated Zabuza: (sadly) "Zabuza, there's no place for you here anymore."
Shikamaru defeating Reanimated Asuma: (sadly) "I'll protect "The King", so....don't worry." The picture is of Kurenai holding Asuma's child, and "The King" references the next generation.
The Fourth Hokage defeating The Masked Man: "As Hokage, there are things I have to protect with my life." The picture shows Minato and Kushina holding their newborn baby Naruto, which gets a lot sadder after you play through chapter 4 "The Birth Of Naruto".
Reanimated Itachi defeating Eternal Mangekyo Sharingan Sasuke: "The truth is in darkness. You'll see it too one day."
At the end of Kakashi's fight with Edo Zabuza and Haku, the finishing blow causes blood to splatter both on Haku's corpse and the crystal ice mirror beside Zabuza. A drop from the blood runs down Haku's face and over Zabuza's reflection, giving the appearence that they're both crying.
Pretty much all of Chapter 4, "The Birth of Naruto". As noted on the Heartwarming page, they actually manage to make it even more Tear Jerking than the original source material. Then there's the music... you will never think the same way about the title screen theme again.
The game has a number of scenes in which Minato and Kushina are shown eagerly awaiting Naruto's birth, and the chance to be parents, all the while promising good things for him. Really hammers in just what Minato, Kushina and Naruto all had stolen from them by Tobi that night; a loving family. Instead, Kushina's killed, Minato has to sacrifice himself to be able to save both his kid and the village, and Naruto ends up living as a pariah for most of his life, without anyone appearing to care for him.
The fight with Reanimated Itachi and Nagato. Nagato in particular has been reduced to a Type IV Anti-Villain, in that he's now completley heroic but has no control over his actions. He tries to act as a Stealth Mentor for as long as he can... until he gets the Rinnegan back and Naruto is forced to Shoot the Dog to prevent him from becoming a walking Story-Breaker Power again. Naturally you get Sad Battle Music here too.
Gaara's fight against his father the reanimated Fourth Kazekage, especially at the end where his sand manifests itself into his mother's image to project Gaara and seal away his father once and for all. After finally managing to earn his father's respect, Gaara wipes away tears of happiness.
Tobi's fight against Konan, just as gut wrenching as it was in the manga/anime. After triggering her trump card and seeming to blow Tobi to Hell, he appears right behind her knocking her to the ground. And despite all of her new found resolve and determination, she couldn't resist the Sharingan and ended up handing over the Rinnegan to Tobi who offs her once her part is done. Just... ouch.
This one quote along with the montage that plays along with it really hits home during this sequence:
Naruto: "Sasuke, you and I........our roles could have been reversed."
All of this pales in front of the Sage Kabuto Vs the Uchiha Brothers. Sasuke gets to team up with Itachi and after all is said and done, Itachi dispell Edo Tensei and before vanishing gives him a Headbutt of Love ...: