I got a few:
In Rdr2 my fully bonded horse died in the middle of the fight. My beloved Chelsea II was there from the beginning, when Hosea gave her to me. She died while I was fighting some bandits
I died in my Minecraft hardcore world. It kinda made me sad thinking my horse, Gina, my 2 cats, Kim, Kourtney and Kylie, my 6 dogs, Artemis, Achilles, Apollo, Aphrodite, Ares I and Ares II and parrot, Loki were still there, awaiting my return
People will probably hate on me for this one but when Elise died in AC unity. Got me right in the feels!