The scene where Heather discovers Harry dead, as well as the scene where she laments because she never got to tell him how much she loved him.
Heather: Dad. You used to tell me that you were the strongest man in the world...
Also in the scene before the ending, when she breaks down in tears while thinking of Harry after defeating the final boss.
Also one for the player if they played the first game. Harry, who the player spent the entire first game with, watching as this man put himself through a literal hell to save his daughter, is dead. And he's not coming back.
Douglas' recollection of his son's death.
Douglas: "You..remind me of my son..."
Heather: "I thought you said nobody was going to cry over you."
Douglas: "Dead people don't cry."
Heather: You think you're Superman or something?
Douglas: You know...I always wanted to be him.
Claudia admitting that, despite believing her actions are for the salvation of all mankind, she doesn't expect to be saved and even feels remorse for what she did to Heather.
And most of these scenes also feature sad music, which makes it all the more tear-jerking.
The letter from Harry to Heather which mentions how he still felt the loss of his daughter Cheryl after she was absorbed back into the reborn Alessa.