Ace Combat 5: The Unsung War - Chopper's death. The Demons of Razgriz really came alive at that moment.
Legacy of Kain: Soul Reaver 2 - EVERY. SINGLE. PIECE. OF. DIALOGUE.
Legacy of Kain: Defiance - Learning that Raziel was actually a hylden.
Final Fantasy IX - The burning of Alexandria and Bahamut's defeat.