I think it would be . . .
FFVII : Aeris' death. That completely suprised me, and made me really want to take on Sephiroth (that bastid!).
FFVIII : The opening movie when Squall and Seifer fight.
FFIX : The ending, when Zidane escapes, and also when he meets up with Dagger again.
FFX : When you discover that Tidus is nothing but a dream of the Fayth, and also the scene when he and Yuna kiss in the sparkling water.