This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Saints Row 2
The "Bleeding Out" mission where the Boss carts Johnny Gat, who'd been impaled by Jyunichi, to the hospital. The entire way there, you can hear Gat have a near-death dream where he's attempting to rescue Aisha, who had been killed mere minutes before. Even though Gat's a badass, it was depressing listening to him believing he could still rescue the girl he loved.
Red Asphalt. Especially tragic is that the Boss, who never missed a moment to talk in the game, never said a word throughout the entire cutscene, and especially when they sat by Carlos's lifeless body, grieving for a fallen comrade. Anyone who says that the Boss was an uncaring psycho in the second game has apparently never played this mission.
Jessica calling up The Mix to hear 'Sister Christian'. She mentions that it's "Her and Maero's song". The revenge just isn't as satisfying after hearing that.
The story arc taking place during the Ronin missions, starting with the last part of 'Road Rage' and ending with 'Rest In Peace,' are suspenseful and ultimately heartbreaking...and yet they still somehow don't compare to the end of 'Red Asphalt.'
The secret last mission, where you and Julius fight together one last time against Ultor. It's just like old times, you and him shooting it up in his custom Eiswolf. You think everything is forgiven, even Julius thinks so, calling you 'playa' like a friend one more time before The Boss shoots him. He calls you a sociopath, and tells you—more or less—that the path you are walking down will doom you. Then you kill him. The worst part of it all is that you realize he's right. In a game that is all about goofy escapist fun, the seriousness of this scene can be a shock.