Of course, "The Lord of the Rings" - where Denethor is about to burn his son alive, thinking that hope is lost. Faramir is still alive and Pippin doesn't want him to be killed! It gives me goose bumps.
Another example would be "A Little Princess" - she sees her father, but he was injured and has no memory of her. This scene is my favorite in the movie, though it always makes me cry. I watched it with my little sister, Aly, who was six at the time and she crawled into my lap, crying because the daddy doesn't know his daughter.
In addition to that, there's the scene in "Hook" with Robin Williams where he has finally figured out who he is and fighting for his children, but Rufio is killed, the boy that was like him but younger. I love how he screams no and Rufio's last words to him.
Those are just three examples.
I wrote a scene in "Nameless" where two of the characters are screaming and calling out for each other as one is taken to their death. No one is listening to their screams and the heart of the character is broken. It's a very strong and emotional scene. The voice in the scene is strong, not only the physical voice but the "voice" of the character is deep within the scene.
That's a powerful scene. It doesn't have to be a scream, but it has to be there. :) Can you think of others?