Several...and not just when beating them... Sometimes good writing occurs in different parts of the story.
The first game that made me cry was Homeworld. It's actually an early cutscene that did it, not the ending. You capture an alien and he tells you that your homeworld was destroyed because your people violated an ancient treaty banning certain technology. The cutscene ends with "the subject did not survive interrogation".
https://youtu.be/dOfpWRZqWv8
I also lose it in Mass Effect 3 when Legion sacrifices himself to save the Geth race.
https://youtu.be/eEozsxoOJvw?t=162