Heavy Rain and The Walking dead were emotional rollercoasters as well, but I made the mistake of watching Let's Plays instead of buying the actual games. There's no substitute for experiencing these moments firsthand.
Fluttershy takes out a grizzly bear, now playing in HD!
The Walking Dead.
Nothing more to add
The ending to Klonoa Door to Phantomile.
No videogame that I can think of but I cried during Clannad After Story and 5 Centimeters Per Second (anime).