The saddest video game death for me has to be..
Dr. Avians death in Skullgirls (Peacocks Story)
Even though we did really know to much about him, it was still sad to see him die in front of Peacock. and It also showed that just because Peacock is a violent psycho robot girl, she still had a heart and cared about those around her. (her ending shows this well)
It doesn't get me teary eyed like some other video game moments in games like Gears Of War 3, Mother 3, and MGS4, but It makes me feel more sympathy towards these characters and makes them more likeable and even relatable at times.