The only bit in X-2 I really like is when you beat Shuyin and he says "Don't try to tell me you understand." It makes me cry. Probably the fact it has the 1000 words piano in the background. That was the best music in the game.
I also like the bit when you go into the farplane for the first time and Shuyin says 'Spira hasn't really changed at all. People are still fighting over nothing, still dying like they used to." That's a really good point.

But still, if you want sad scenes, play VI. My favourite scenes are when (SPOILER)Cyans's wife and child leave on the phantom train and (SPOILER)Celes attempts to commit suicide.