Oh god, Final Fantasy Tactics. Multiple parts of that game just break my heart.

FFX definitely had one of the most emotional endings as far as I'm concerned. Persona 4 I invested a lot of myself in too. And Chrono Trigger/Chrono Cross.

... Actually, screw it, I get attached in just about every game I play. Even Sid Meier's Pirates! had me grieving as I watched my pirate's skill deteriorate as he became old. T.T