The ending of (what was intended to be) the final season of Sonic X when Sonic takes Chris's arms and tells him to hold on tight while he takes him for one final run before returning home. Sonic crying and the tears blowing into Chris's face just clenches it. This is quite something to pull off when you're The Scrappy.
And just to make the scene tear jerking overkill, this whole scene is accompanied by the depressing music Sonic Adventure 2 players would remember from the ending credits.
Speaking of Sonic X, there's also the time that Scarlet Garcia and Franklyn speak with the old man in the retirement home who sobs as he recalls to them his memories of the ARK and his murdering twelve year old Maria Robotnik, after Scarlet all but begs him to explain so that she can finally understand what happened to her father, who also investigated the Space Colony incident years earlier, and was presumably killed to keep the secret quiet. Particularly touching are the next words are spoken.
Old Man: I joined the army because I wanted to give back to the country I loved, but...
Scarlet: (takes his hand) I understand now. Thank you.
Another Sonic X Tear Jerker is when the revolutionary Molly flies her ship into the Metarex fleet, effectively committing suicide, albeit heroically as she went down fighting for the planet she loved. She pauses to look at Shadow as she passes, smiling and with tears in her eyes. The look on her face, and on Shadow's as he realises what she's about to do, are heart wrenching.
Unfortunately in the dub, the Never Say "Die" trope rears its ugly head, ruining it.
There's also Cosmo's death scene and Tails utterly chilling heartbreak as he has to fire the gun that kills her.
Also, Sonic's later inability to do anything but stand there after returning the only thing he could find of her, a single seed, and Tails literally collapses at his feet in tears after punching him a few times had several people screaming at their television sets: Hug him, Sonic. It's not that damn hard, just hug him.
Tails' heartbreaking reaction to Cosmo's death, especially in the Japanese version. The dub unfortunately tones down his reaction to make it less intense.
The finale of the first series - hey, even Sonic cried..
E-102 Gamma's 'rescue' in the Sonic Adventure arc. Made even more poignant than the already moving games version by a heartbroken Amy witnessing the whole thing and the touching imagery as Gamma's hand falls onto Beta's as he collapses, as if to hold each other's in unity).
Amy:*tearful* You managed to free them. Thank you. We're friends from now on. Now you and your brother can live together again...
The final episode of the Sonic Battle arc, Cream getting ready to finish Emerl off, after a Hope Spot where he looks like he's coming back to his good self, all the while she remembers all the good moments they spent together and when she does it, Emerl sees her crying and starts crying as he falls deeper into the sea, Cream's cry in the Japanese dub after Emerl explodes is just heart-wrenching, and since Gemerl does not exist in Sonic X, Emerl is Killed Off for Real, making this even worse as she will never see him again.