First:
End of Pokémon Super Mystery Dungeon.
The human turned into Pokémon manages to save the world, thinks, that he has to leave the world, but it is not him, it is his partner who is forcibly being taken away from the world, the light takes him away.
I never watched that scene again from the moment I played it last time in 2017. I would cry for sure.
Second: Mr. and Mrs. Bellic- Deal ending. GTA IV
Dimitris hitman tries to kill Niko, Niko avoids being killed, but bullet hits Roman, and he is dead. Very sad, I watched it only one time in my life (perhaps 2009) , and few times I came across it unaware, I turn it off immediately, I would cry as well.
Third: Light My Pyre GTA VCS
Armando Mendez kidnaps Victor's girlfriend, and when he rescues her, she dies shortly afterwards.