I can't think of any game that made me actually cry. Film, yes.. book, yes.. but not a game. Emotionally attached? Absolutely! I was sucked fully into Final Fantasy 7, and ok, her death choked me up a bit if I'm honest
Games that have ultra-cute characters in them I have a bit more trouble with - for example I just hate seeing my little Pikmins die! Or my crops/animals suffer in Harvest Moon.
There was also something really involving about the early Medal of Honour games, the way your fellow soldiers are ripped to shreds, and there is nothing you can do about it. Now that's all par for the course and *expected* in WW2 games, but back then it was very novel. Similar feeling with the first Halo actually.
I was also totally engrossed in all of the Broken Sword games, and loved every goat-coal-munching minute of them, and really cared for finding out where the story went, like I owed it to George and Nico or something.
The last book that actually made me choke-up properly? Amazingly, it's the very end, very last chapter of Winnie the Pooh! (the proper classic AA Milne version, not the Disney one). Maybe it's just because I'm a new Dad and spend hours watching my son play - but when you read it, and you realise that Christopher Robin is understanding that he is growing up, and won't need to play any more, or need his teddy bear - it's just very moving. Like I can remember back to when I didn't have a care in the world, and would play all day, or sit and dedicate hours of my life to a super bastard hard level in Mario, but keep on trying anyway. You loose that eventually. Life gets the better of you, things become a 'waste of time', or you are 'too busy' constantly. The book just highlighted this I guess. It's damned clever, and utterly timeless.
Growing up sucks
Heavy on the Magick