Silent Hill 4: The Room - I liked it so much I was sad it was over. I hadn't ever felt that way about a game before.
Metal Gear Solid 4 - Talk about my most emotional experiences in a game ever! Watching Snake crawl through an oven was one of the toughest moments in history. There you have a video game icon (one of the most known and longest existing) crawling there like a helpless victim.
HEAVY RAIN - Literally from the moment I started playing it, I was happier than any game had made me, because I invested so much energy and time into this project. I couldn't wait to dive into the fruits of labor, and my first ending was pretty sad (although I won't spoil it).