Metal Gear doesn't have any really sad scenes, though. I think it has very frustrating scenes or awesome scenes, but I wasn't saddened by it.
Granted, Tingle's first appearance was the saddest scene, it would haunt the series for generations.
I think the saddest is the end of TP, when Midna leaves to go back to the Twili and doesn't tell Link she loves him, and she breaks the mirror so that they can't interact anymore.