I don't know if it really classifies as a
sad moment, but near the end of FFIX when Zidane realizes his purpose, and he walks away alone dismissing his friends to the tones of "You Are Not Alone", that really touched me for some reason. I still shiver when I hear that song
Other than that, the scene in FFX when Tidus fades away is definitely the saddest moment in any FF game in my opinion.