***SPOILER FOR THE DARKNESS*** If you haven't played this game do so now. I'll wait......... Awesome isn't it?
When Jenny dies.
It's established that in the whole of Jackie's life Jenny is the one ray of goodness and hope in his world (and this is a recurring theme). Earlier in the game she throws you a birthday party and she falls asleep in your arms as you watch a movie together (how many games let you watch a full real-life movie?).
When she's murdered by your uncle The Darkness inside Jackie forces him (you) to watch, but stops you from doing anything. When Paulie shot her in the head I actually felt a portion of what the character was feeling, and it just blew me away. And then when Jackie pulls out a gun, walks to a mirror and shoots himself in the head I understood why; and that was the first time he died (or was it the second? I forget).
Now that is not to say the game didn't have its issues, but, for me at least, the storytelling is what drew me in and made it one of my all time favourite games.