Jorge's death was pretty sad in Halo Reach. Here's a sad moment that isn't a death/ending: In Kingdom Hearts 2, when you are finishing up Roxas' part in the beginning, and Roxas life starts to fall apart completely on the 7th or 6th day. I started replaying KH2 a few days back, and my eyes still teared up at the part where Roxas is in the white chamber with Sora.
Axel's 'death' pissed me off in KH2 also, but I'm pretty sure that means that his original personality, Lea, is restored.