Probably showing my age a little, but Final Fantasy VII. In an age before the internet was common, so spoilers weren't a thing, I went into that
fateful scene fully unprepared. And I had spent so long developing that character as the party healer. I was not a happy boy and I am not ashamed to say that I well up even now when I think about it or see clips of it!
Other than that, Red Dead 2 ending prior to the epilogue. That got me!