Adventure Capitalist
When I only had the last achievement, the dev decided to update the game with more and longer achievements.
Uninstalled right away.

Saddest and more annoying moments in games are when I lose a significant amount of progress and don't feel like re-playing what I lost.

Yea first game I shed a tear over. End of Telltales Walking Dead Season One.

Phantasy Star 2 was pretty shocking, from start to finsih, as a 13 yo kid.

Even more shocking was the indecency of all the awful sequels to that game.
Also, if you are mentionning FF7, sorry, you are only naming a carbo-copy of a greater game :)

To the Moon - Lament of a stranger...

Back in 2012, DotA 2 had this "delete item to get a better one" system. I deleted a Dragon Claw Hook.

While playing Fallout 1 I reached a ghoul town.
They asked my help.
There were mutants around and I had to go to sewer and fix water pump.
My character was very good at sneaking and using small arms.
So I cold easily do the job.
Instead of doing it I wanted to atack Mutants.
I clicked on one of them and told im to take me to his boss.
Instead of going to leaser in that town game took me to the end boss.
I managed to blow the factory and go back toghoul town to finish the job.
Well, hey were all dead because of me.
They were dead because I was coocky.
I cried for half an hour.

I was playing WoW and I asked this female NE to marry me... she said no :'(

The end of Valiant Hearts: The Great War

Richard and Alice, when Barney dies

Do Visual Novels with light choice elements count? Steins;Gate crushed my soul a hundred times over.
If not then (in no particular order):

Transistor - The ending
Killing Sif in Dark Souls after beating Artorias
any time I thought I was good at DOTA 2
MGS 4 - From the "hallway" and beyond
The Last of Us - Just all of it
The Witcher 3
Okami - The Yami fight
Brothers - A Tale of Two Sons
Thomas was Alone (not too sad but really surprised me and left an impression)
The Swapper (same reason as above)
The time I played Mass Effect 2 doing an "everyone I know and care about dies" run
The Walking Dead: Season 1

There's more I'm sure (played way too many JRPGs for there not to be but I can't remember a single one right now) but this is all off the top of my head. Oh well :D

Ori and the blind forest. Towards the end of the intro/tutorial.

eternal senia, life is strange, brothers- a tale of two sons

Final Fantasy VII. I don't want to spoil but probably you all know when :D

I was absolutely in shock.

Valiant Hearts The Great War ending

This

Bioshock infinite ending.

Deponia saga's ending

Why Daedalic ?! was that necessary ?! I HATE YOU DAEDALIC !

Illusion of time (or Gaia) Seth's dead, and the sacrifice of the little pig of the princess T.T and Terranigma had some T.T moments too and Shadow of Colosus but in the end, the horse is ok

My friend was causing chaos in GTA 3, killing cops and army left and right, surviving for a really long time, until a grandma with groceries came by, beat him up and killed him.

Valiant Hearts , i cried like a baby

why no1 mention the last of us !!!
the undescribable feeling !

I actually can't think of a single game that had any impacts like this on me.. I was looking trough my game list and not a single one got me.

T_T The Last Of Us
TT_TT Spec Ops The Line White phosphorus really really hit me hard
TTT__TTT I found Portal 2 ending sad as well When I delete you maybe I'll stop feeling so bad
;A: Also, Mass Effect 3, Life Is Strange, FFXIII-2