Aeris is obviously the poster-child for sad video game scenes.
But definitely the part of MGS4 where it looked like everyone was going to be raped horribly and die was sad.
The most emotional part of that game was the final fight though - the three different forms, it just reminded you about the awesomeness of the series, all the fights you had been through, and the music was a nice touch too. As I went through that fight, I just got emotional knowing that this was, in fact, the end of a series that was so much fun and was so good.
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