Recent memory, The Last of Us, FF13 & 13-2, Xenoblade. I can garentee there is more, I always cry in games :'(

Super Mario Bros & Journey...tears of joy my friends. 

Other times i was close: Shadow of the Colossus, The Last of Us and MGS3. 

MAJOR SPOILERS!
MAJOR SPOILERS!
MAJOR SPOILERS!

The Last of Us:
This is the emotional game i have ever played so i'll go into detail. I teared up four times during this game, first was the opening scene when Sarah died, massive impact within 10 minutes of starting. Second was at the ranch after the horse ride segment when Ellie and Joel had the arguement. I personally feel that this was the most emotional scene and probably the best scene i have ever witnessed in a video game, it was so powerful and the turning point of Joel and Ellie's relationship, amazing scene. Third was when Ellie killed David, once again a very strong scene that was hard to watch imo. Fourth was the hospital scene with Joel escaping with Ellie in his arms. A powerful scene, reminiscent of the opening scene and showed that Joel thought of Ellie as his own daughter and that he'll go to any length to save her and not feel the pain that he once did, very emotional scene.

Other games:
Beyond: Two Souls
Heavy Rain
The Walking Dead
Shadow of the Collosus
Modern Warfare 2 (I love Ghost)
Modern Warfare 3 (I love Soap)
Uncharted 3 (I teared up at Sully's death, and i teared up when he returned lol. tears of joy)