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Tear Jerker: Saints Row IV
Kinzie's audio logs about Oleg.
Shaundi is heartbroken when you find her in the Zin simulation, overwhelmed with guilt over Johnny's death. Even worse, when Zombie Gat revives and attacks her, she's forced to grab his knife and stab him in the head over and over, screaming the entire time. Then Boss puts a hand on her shoulder to comfort, about as tender an expression as the gangster has ever managed, and tells her gently its not her fault.
Even though we've seen Earth get destroyed plenty of times in fiction, this game makes the literal Earth-Shattering Kaboom surprisingly harsh. Especially since we see Oleg and Josh Birk having a friendly chat moments before.
The terrified screaming you hear when it happens helps sell the horror.
Pretty much all of Gat's simulation and subsequent audio logs are this. This is a man who kills for fun, who finds murder to be the best solution in every circumstance, but when he talks about the people he's lost, he hesitates. When he mentions Aisha's name, he pauses for almost a full minute, unable to continue.
The tribute to Michael Clarke Duncan, the original Ben King, during the credits. They had gotten him in for some preliminary VO work before he died, which included a quick recording of the sing-along for Just A Friend. After the usual "every voice at once" sing-along, they fade into their last recording of Duncan singing, as the music fades out...
When first escaping the simulator Boss is weak, sick, scared of the alien ship s/he is on, clutching at the walls for support and calling for Kinzie.
What really comes off as a shocker as this is probably the first time you see Boss actually vulnerable, and seconds before Kinzie finally arrives, the Boss has run out of ammo, he/she is still facing an armada of alien troops...Never before had the Boss actually been in a completely hopeless situation where he/she didn't know how they would survive.
The beginning when Aerosmith's "I Don't Wanna Miss a Thing" plays when Boss attempts a Heroic Sacrifice, then it becomes awesome as s/he survives.
Asha's simulation. Imagine for a moment a simulation in which you a) have to watch your best friend getting killed and b) fail miserably in stopping the Big Bad. Over and over again. Considering she's Miss Failure Is Not An Option personified, her explanation to the Boss says it perfectly.
Asha Odakar: I keep failing over and over, I keep failing at my job. It doesn't matter if it's an evil you or a ten-foot soda can! When the fate of the world rests on your shoulders, you can't afford failure! And that...that is my hell.