Hughes death in FMA was one of the most touching moments at the series, and gave one of the best scenes of who Roy really was at his funeral. It's a clear, blue day out there, and all of a sudden...
Roy (crying): Oh, look, water...it must be raining...
Another touching death was Alice Elliot's at the end of the game
Shadow Hearts. It's especially poignant when you see all she did for the main character.
There were also several touching deaths at the end of the Xenosaga series, including
Spoiler Below Nigredo (Gaignun Kukai), Canaan, chaos, KOS-MOS, and Jin