Chrono Cross as a whole was one of the most depressing stories I've ever been through, and even at the end, I still felt like something was wrong. That People Seized With Life song is a reaaaaaal emotional one.
KHII had it's fair share of sad moments, but 358/2 Days has to be one of the saddest games I've ever played, because if you've played every other game so far, you know exactly how all this is going to end, but they make you get emotionally invested with these people, and the whole thing is pretty depressing.
I think I might've actually shed a tear at the end of FFX, and the part when Tidus finds out Yuna's gonna die at the end of the journey was pretty sad too, especially because he was joking around about how they'd have all sorts of fun after they beat Sin.
Mother 3, that's been covered.
Uh... I'm sure there's others.