I'll start with a few.
Ace Combat 5: The Death of Chopper.
This was the first Ace Combat game I played and, while seeing both Bartlett and Nagase go down had me on edge (pardon the pun) and concerned for their safety, I still felt reasonably okay during the November City mission when Chopper got hit - thinking he'd eventually bail out and come back later.
However, as time went on I got more and more concerned and at that point where he stated that he couldn't get out because his canopy wouldn't blow I genuinely freaked out and was pretty much echoing ThunderHead by shouting at the tv screen for Chopper to keep trying.
As such, seeing him die by crashing into the stadium honestly made me want to cry and made me enraged when the Yuktobanian reinforcements showed up. Finally after that when Thunderhead said about saluting Chopper, I put down my controller and did so, while simultaneously feeling like I'd been punched in the gut after seeing his death.
Ace Combat Zero: The Nuclear Explosions/Pixy's Betrayal
While I already knew this was coming as I played AC5 first, the scene itself still threw me as I had no idea how to react. It wasn't helped when I suddenly found Pixy shooting at me and had to make a quick evasive move. I still remember shouting "Whoa!" at the screen as I ended up sounding like Crash Bandicoot. :D