Not full on cry no but there are probably a few games where I did feel quite sad when a certain thing happened:

The end of MGS4, being a big fan of the whole series you'd get pretty emotional but when big boss died, sheeet.
Uncharted 2 when Drake was nearly crying about Elena cause he thought she was dead.
Final Fantasy X: ending with Tidus and Yuna
Final Fantasy VII: Aeris/Aerith death
Metal Gear Solid: Snake kills Wolf
Gears of War 3: Doms death
Assassins Creed Revelations: Ezio saying goodbye to Altair
Resident Evil 6: Piers death
The Walking Dead: Lee's death
Saint's row 3: Johnny fucking gats death
Final Fantasy 7: Crisis core: shit on a stick the end

They annoyed me and upset me, only for like 10 minutes though.

Ah, Resident Evil 6, I grew an attachment to Piers... To see him die at the end was the worst, I was so sad. Hit me right in the feels.

Have you ever cried over a video game? I for not have not cried over a video game but had major goosebumps for a couple of games. (Metal Gear Solid, Metal Gear Solid 2, Metal Gear Solid 3, Metal Gear Solid 4)