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Tear Jerker: Radiata Stories
Radiata Stories has a lot of those, particularly considering how hilarious it manages to be the rest of the time. The biggest one, however, is certainly Ridley's death in the human ending.
Gawain's death in the human route is this if you've played the nonhuman side and know he didn't actually kill Cairn. It's especially bad since Jack's conversation with Gawain as Gawain lays dying implies that he at least suspects this. Speak to Adele after this event and Jack will confide in her that he is confused and very scared.
Seeing Jarvis and Daniel confront Jack in the nonhuman route is this. Their sheer determination to bring him home despite knowing that they'd be picking a fight with Gawain is moving—and after being beaten, Jarvis shuffles away, saying, "See y—actually, never mind, I doubt we'll ever meet each other again."
Killing Parsec in the human route, especially when Jack just looks down at the old geezer's match for a moment before closing his eyes.