One of the last scenes in the game is Alice crawling onto Cauldron Lake's shore after Alan put himself in her place, forlornly calling out, "Alan?..."
When Alan finds Walter dying in the cabin. The poor guy's confusion and anger at what's going on, plus seeing his friend turned into a Taken and killing him is just heartbreaking. He didn't deserve what happened, and his death adds a distinct and horrible degree of humanity to all the empty cars and blank cabins you've been passing throughout the game.
Some of the manuscript pages are just...heartbreaking. Most of them play into things that happen in-game, but are offscreen or out of Wake's field of perception. Such as...
...early in the game, one of the radio shows has a caller ask whether or not listeners can keep an eye out for his dog, Toby, who had run off after something spooked him in the woods (heavily implied to be one of the Taken). One of the manuscript pages details Toby's encounter with the Taken: it's a man that Toby knew as, "...the nice man who always gave him treats and never got tired of playing with him." Then Toby smells something 'wrong' about him, something that absolutely terrified him. And then the nice man buried his axe in Toby's skull.
Or Rusty, who players only know as a friendly park ranger who was previously seen helping mend a dog's leg after it stepped in a trap. In one of the manuscript pages, it's revealed that he was deeply enamored with Rose. It's touching, considering their interactions, but the name of the manuscript explains pretty well why this is a Tear Jerker: "Rusty's Final thoughts."
The above manuscript page is made even more heartbreaking when a later page reveals that Rose had feelings for Rusty, too.
The warehouse where you come across the radio playing "War." It's hard to go through the subsequent battle without being moved to tears by the lyrics talking of how you're fighting against the impossible and how you're never alone on the front lines.
Unless, of course, you are moved to tears of anger and frustration due to it being That One Level.
The final fate of Thomas Zane. He was a nationally famous poet, before the Dark Presence took his girlfriend. He had to write himself, and everything he ever did, out of existence, and spend 40 years in the Dark Place.
Hearing Alice's words in "The Writer" basically giving Alan a massive "The Reason You Suck" Speech. Though obviously false, both Zane and Narrator!Alan gently remind Rational!Alan and by proxy the player that the words said in the speech are Alan's own doubts and flaws anyway.
The happy memory Zane shows you afterwards, too.
The song that plays during the credits for the last episode and the two DLCs is David Bowie's "Space Oddity", about a spaceman who becomes lost in the void forever, watching the Earth from above. Can you hear me, Major Tom?...
This becomes a double Tear Jerker after David Bowie's passing.
In American Nightmare, hearing on the radio that Alice has given Alan up for dead. It gets undone by the ending, but damn it hurts to hear.
Cynthia Weaver has spent the last forty years obsessively maintaining the town's lights for the sake of the man she loved. She had a life and a career before this, but that's all gone now, and since she's the only one who knows how important her duty is, she's regarded as the town kook. Thomas Zane basically used her to prepare Bright Falls for Alan Wake's arrival, and her graffiti alternates between gushing about how much she loves Zane and cursing him, and one instance talks about how "darkness waits in her dreams". Does that mean she thinks her mission is ultimately hopeless, or that her dreams provide some respite from a life of constant bright light?
Remedys recent game, Control, reveals that Alan has been trapped in the Dark Place for over a decade, desperately trying to write his way out while slowly losing his grasp on the line between fiction and reality.