Two games have made me cry that I can remember.
One was Mario Party, trying to rotate the control stick as fast as possible, it ended up causing blisters on my hand and me being in tears from the pain. (I stubbornly kept going til I was forcibly removed from the game)
The other was Team Fortress 2, I had a really bad streak of luck, and raged so hard that it eventually turned into tears. Fun times...