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Tear Jerker: Sanitarium
The Mansion level in Sanitarium is a Tear Jerker, mostly due to music and the flashbacks. However, like almost everything else in this game, it is also Nightmare Fuel.
The cutscene that occurs between chapters 3 and 4, where we finally find out why Max's mother was summoning him.
Maria Santiago in chapter 2. Have tissues handy when you ask her about the pumpkin patch.
The backstories of Carol Driscoll and "Mother"
Mother may be the most sympathetic of the villains, due to this.