Metal Gear Solid 3 : in the end I had plenty of tears in my eyes for the first time playing videogames.
Shadow of the Colossus: If you have played it, you know how it ends.
Fragile Dreams farewell ruins of the moon: Hands down the game with the most sadness in it ever, from beginning to end.
999: Nine Hours, Nine Persons, Nine Doors : This one has the most fucked up story ever in a very good way, there is simply no game with a better story or anything for that matter. In the final ending my head exploded and my jaw dropped in ways I could not believe it could drop.
Chrono Trigger : My favorite game of all time and when it ended I was both happy with the ending but sad it had to end, but of course I went on to get every ending.