Red Dead was the only game I shed tears to see end, not only because it had a heart-wrenching ending but also because it was such an amazing story I could not bear to see it end.
Yeah, it was fantastic, although I had to play through the story twice to really get that feeling. When I first played the game I would rush through 3-4 missions, then spend the next few days doing sandbox stuff, then some more missions, and etc. It's hard to follow the very first time; you miss a lot because there's so many themes to it.