A few years ago, I got Drawn to Life: The Next Chapter, and I finished it while in Texas with my dad. It was just so sad seeing the entire game series was one kids coma trip. The sadness was lessened by the fact they just shoved all the attention to this one random character.
Another sad moment is in Sonic Adventure, when Gamma dies. He was such an amazing character.
And finally, Metal Gear Solid 4, where Naomi kills herself in front of Otacon.
Also, just a side note, if I see Aerith's death from FF7 mentioned anywhere in this thread, somebody is getting their stuff flipped so hard that it will pierce the heavens.