Ace Combat 5 and Zero Spoilers:
When Chopper dies in Ace Combat 5: The Unsung War. Also, Pixy defecting in Ace Combat Zero: The Belkan War and later in the game fighting you (after having killed your new wingman) is pretty sad as well.
The ending of Medal of Honor from 2010 also deserves a mention.
I also thought the ending of the main quest in The Elder Scrolls IV: Oblivion was pretty sad, at the least at the time when I finished it for the first time, since I thought it was unexpecting.
Edit: Whoops, didn't know that there was a spoiler tag. My bad.