When (SPOILER)Faina dies in Infinite Undiscovery... I shed a tear ... It's such an sad death ... You really feel for Capell when it happens too.

Also going to mention Caim's final non-cannon death in Drakengard... It makes you feel really empty on the inside... You've survived hordes of horrors, a massacre of knights, obliterated giant Manah, evaded endless Grotesqueries and stopped multiple calamity from imploding the planet. Caim meets his death by a Modern Day Helicopter's Missile and is blamed as the primary threat.

When (SPOILER)Alicia fades away in Valkyrie Profile 2... it's not a tear jerker, but you certainly feel a little bad for (SPOILER)Rufus being unable to stop it.