Just a suggestion: since most of the comments in this thread will have to do with deaths of video-game characters, it would be best to use spoiler tags along with the name of the game you'll be spoiling.

I rarely ever feel sad during sad moments in video-games. The only one I can really think of off the top of my head is Chrono Trigger when (SPOILER)you revive Chrono with Marle in your party.