For me, definitely when Xion fades back into Sora. Roxas shows true emotion for the first time. And you know what? I shed a tear as well. They were no doubt about as in love as Nobodies can be, and to see the person you really love die in your arms has to be the saddest thing.
That, and when Roxas and Namine rejoin into Sora and Kairi. I thought I'd never see Roxas again until I saw
Reconnect
. That was such a good day xD
EDIT: Oh and how could I forget the beginning of the Sora chapter in KHII. After playing Days as my first Kingdom Hearts game, I was already attatched to Roxas as a character in the series. And then I picked up II and, even though I already knew what was going to happen from seeing it on youtube, it was one of the best moments in my gaming history when he walked up to the pod and said
"Sora, you're lucky. I guess my summer vacation's... finally over."
After escaping The Castle That Never Was, being forced to kill his true love, and having his memory erased after finally figuring out who he was, he had to become one with Sora and become what he was meant to from the beginning: Not exist.
