1. in FO3, you grow up with a few characters in the vault and you start to have feelings about them, especially the overseer's daughter and the father. when I got the quest "following his footsteps" I feel very touched.
2. in FO3,
3. In NV, when boone tells you the story about his wife. it felt very emotional even though you are not part of it
4. in NV, when you buy veronica a dress
5. in NV, I even feel bad after killing Caesar, because he wasn't depicted as purely evil but has some human quality
6. Here's one from oblivion, after Martin turned himself into a dragon and then into stone, I felt sad for a little while
I'd like to see more of these kind of moments in skyrim. In oblivion everything feels like a joke and childish.