First one that hit me hard was Aerith from Final Fantasy VII. It was totally unexpected especially since she became one of my most liked characters in the game. I did everything to get a date with her and she was almost always my party member. That one made me cry because of a game for the first time too what made her special.
One that made me just simply mentaly miserable was 2B's death from Nier:Automata. The whole game was depressing so A/B endings filled my heart with hope that somehow the story will have partially happy ending... But no. My another favourite character (and no, not because of her looks but character and her interactions with 9S) had to die. I almost quit the game completely then even if I loved it very much before. Fortunately I didn't and fell with it even more.
Xion from Kingdom Hearts. She didn't have it easy from the very beginning and she had to sacrifice her own life even if they made her to be only a tool. Almost made me cry
And the last one that I remember was the old lady from "Crime and punishment". I had to read this for school and, oh my, this made me paranoid for weeks! Of course it hit me not the same way the others did. But even if I cried and was sad because of other characters especially since I could grow attachment to them, this just made the most memorable death scene for long for me. I was genuinely afraid to be alone at night and had to call several people the evening I read first part of the book so they could comfort me. I've never felt like this before and after because of a book and that was kinda wonderful, that I could feel this kind of emotion.