Oscar in Syberia was more moving than the endings in either game, and they were quite moving too.
I have to agree with Dreamfall, it is just superb. Both Faith and Zoë.
Spoiler:I still cry when I think about Wonkers sitting there and waiting for Zoë to wake up
I am also sure there's a lot more. Jensen's games, Discworld Noir, Fahrenheit and Culpa Innata for example are very engaging games where you also "feel" the story and not just play through it but I can't really pinpoint a specific moment now.