Journey and Lost Odyssey but in Lost Odyssey but it was the cinematics, felt nothing for the gameplay because it was too mechanical.
Before that a game without major story that emotionally hit me emotionally was Shadow of the Colossus. The things that guy went through just to save the girl he loved. A story that was told through actions that didnt need much narration. That game was definitely a work of art and yet another Sony classic.
Bungie tried to go the emotional route with Halo Reach, but I felt nothing. The deaths were so abrupt and the character development wasn't that great. Felt like the guys were just thrown together. I felt like there was something wrong with me for not feeling anything, but 343 made up for it with Cortana and Master Chiefs little love shack going on in outerspace.