Horizon - I felt really depressed. Depressed that I couldn't say anything more to Kaidan , just having those lousy choices. And seeing the people there, fully aware of whats going on , but not being able to do anything made me depressed also.
Virmire - Ah yes.. I got the "lump" in my throat on this. I at least sat infront of my t.v. for about.. 20 minutes deciding on who to leave. In the end, I picked Kaidan. Seeing that he is kind of the only male romance option until Me2. I usually pick Kaidan over Ashley anyways, I always feel that Ashley should of went down with her crew on Eden Prime. Not that I don't like her, I love her has a female character. More then Liara, but I just don't want to see her in Me3.
Normandy Crash Site - I got teary eyed here. Especially not being able to have anyone there with me , made it worse. Seeing the Normandy all broken and damaged was.. "painful" to see. The flash-backs though, was what really got me. And then placing the statue down and the sad music playing, that got me to tears. But I don't count that as crying.
LoTSB ; Thane's Dossier/Log ; Thane's Love Letter/Note - I also got teary eyed here. Well everytime I read it I get teary eyed and get the depressed feeling, knowing that he may die in Me3. It was really touching. I really loved it, a lot.
Garrus recuit mission - When Garrus got shot by the gunship, I got sad. Not teary eyed, just .. sad. Seeing how much emotion my Shepard put into his name, and then when hes all gasping and sputtering. Its sad.
Other then these I can't really name anything else that made me sad or on the verge of crying.