My brother studied human psychology awhile back, and I think some of it rubbed off onto me... DON'T LAUGH!
Try some "sad" (can't really define this genre) music. This has a better impact with classical instruments and ambient background sounds.
Also try emphasizing the "emotional" body language in your characters, key parts being how the character is standing, the angle of the head, (sometimes limp arms) and facial expressions.
Also build up a character's personality, maybe give them a hidden liking for the main character, and giving them a rather important role in the storyline. Near the end of the game, preferrably the final level, have them save the main character by sacrificing themselves. You could also kill them off or have them leave, but this doesn't have as much of an impact.
Romance is too cliche, so i'll leave that out.
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