I've never cried from a game but I have definitely been hit by a good number of feels trains.
I think honestly the most emotional I've ever felt during a game was when the credits rolled after I finished Persona 4 for the first time not long after finishing Persona 3 and I knew there was no more Persona for me to play. Because I'm sad like that. Well, that combined with the general feels of the ending of course.
I can't remember what
event in a game has ever given me the most feels but from recent-ish memory it would probably be the Zero Escape trilogy. The true ending of the first one and just all of the other two. If you ever want to get me wispy-eyed just play me this song.
Goddamn that series is amazing.