When I was a kid. My dad was playing Goonies on the NES and I was fucking around near the console and he'd told me to get away like 10 times and then I accidentally hit the reset button. He whipped me and sent me to bed. That's the only time video game made me cry.
Both Ico and Shadow of the Colossus were sad games to me. They both had very emotional endings.
Terra losing her Esper in FF6 was pretty sad too.
I've always thought this video was sad.