For me, probably in Dishonored when a plague victim pulls his dying friend out of a dumping ditch, and the conversation they have as the weaker one dies. I found it quite sad, but I haven't played many games that could have sad moments.
tie between:
kingdom hearts 385/2 when roxas walks away from axle and axle is all sad and says that he would miss him (sounds lame, but it just rips at your gut if you play through the storyline)
Or... FFX at the end when tidus realizes that to save to world and the girl he loves he has to stop existing, and as he walks away and starts to dissipate yuna tries to grab him and she passes strait through him.