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.
Super Saiyan Sparkle fights demonic centaur, this week on The Hub!
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).