Dunno, it would've been before I was 5 years old, but I was always kinda shallow. I barely remember the games then, let alone what I did in them. I remember having a ring that could blind people in an AoE and that would let me turn into a wolf, and I remember my dad made badass maps, but this would've been the very first edtion of D&D (Before they even numbered the editions), and I really can't remember if a character died or if I cried.
Losing a character you care about, have played awhile, and seriously enjoy playing can suck a lot though. Mine don't die often (Play enough Shadowrun and you start playing every other game like Shadowrun, which means you use too much caution, too much forethought, and too much firepower), but it's genuinely upsetting when they do. Even when a character I dislike dies, it still feels like a let-down. I enjoy playing more than I enjoy sitting out or creating new characters, so I try to survive so I spend the maximum amount of time playing possible.
Can't remember a time I've cried over an RPG though, I confess to getting upset enough that I was afraid I might cry though.