Hmm this is a toughie because I have a crap memory so a few off the top of my head:

Gears of War 3 - The scene where Dom sacrifices himself to ensure his friends escape. Bromance to the max. Extra points for great use of Madworld again.

Call of Duty: Modern Warfare - The scene with the nuke exploding and then you dying or the scene on the bridge at the very end

Bioshock - When you learn you’ve been manipulated your entire life and then Andrew Ryan makes you kill him.

Mass Effect 2 - When the Normandy is attacked and blown up and Shepherd is seen floating off in space.