I'm with marciosmg on the FFVI scene after Cid dies (if you feed him bad fishes). It's incredible sad and to watch Celes jump off the cliff in desperation is truly moving.
Also in FFVI, but not in the sad category I loved Kefka's big moments :
With the statues, killing the Emperor and then moving the statues thus creating the world of ruin and before the final fight with the random lasering of the earth beneath and the "moment to non-existance" quote.
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