There have actually been a lot of games that have made me cry over they years. Some of the ones I remember are:
Metal Gear Solid 1, 2, 3 and Peace Walker
Kingdom Hearts 1, 2, BBS, Re:Coded and 358/2 days
Final Fantasy 10 and (obviously) Crisis Core
Castlevania Order of Ecclesia
I'm pretty sure there are more but I can't really remember any others. I've kind of always been very sensitive to emotional things, so a lot of games get at least a tear or two but the ones I mentioned were games that I remember being wrecked after playing.
There are so many seens in Metal Gear that tear me up. MGS1 has my favorite moment, in the bad ending with Otacon and Snake, but Sniper Wolf's scene is brutal to me too.