What an interesting experience!
I bought this game expecting high-quality cowboys and shootouts. I got that and more. I surely wasn't expecting to cry during the last chapter!
I loved some characters (most notably, Sean and Lenny) and lost them. Even the others, such as Kieran and Hosea, weren't necessarily my favorites, but I was still incredibly choked up at their passings. None of the deaths were expected on my end, and what hit even harder was how suddenly they were forced to move on. I think the short time Dutch had to cope with Hosea's passing (and Hosea's passing in general) definitely contributed to the collapse of the gang, if it weren't already because of Micah's scheming.
I've yet to play any of the epilogue, excluding the first mission. I need some time to process the amazing 73 hours I had playing as Arthur. God, his death hit hard.
I got the most emotional at Sean's death, the last time we see Tilly and Jack, Charles' farewell, Abigail and Sadie's sending-off, and the conversation Arthur has with Sister Calderon. God, I wish I had finished more of the side quests before ending his story.

Arthur: I'm, uh… I'm dyin', Sister. Yeah, I got TB. I got it… beatin' a man, to death… for a few bucks. I've lived a bad life, Sister…
Sister Calderón: We've all lived bad lives, Mr. Morgan. We all sin… but I know you.
Arthur: You don't know me.
Sister Calderón: Forgive me, but… that's the problem. You don't know you.
Arthur: What do you mean?
Sister Calderón: I don't know… whenever we happen to meet, you're always helping people and smiling.
Arthur: I had a son… he passed away. I had a girl who loved me… I threw that away. My momma died when I was a kid, and my daddy… well, I watched him die. And it weren't soon enough.
Sister Calderón: My husband died a long time ago. Life is full of pain. But there is also love, and beauty.
Arthur: What am I gonna do now?
Sister Calderón: Be grateful that, for the first time, you see your life clearly. Perhaps you could help somebody? Helping makes you really happy.
Arthur: But… I still don't believe in nothin'.
Sister Calderón: Often, neither do I. But then, I meet someone like you, and everything makes sense.
Arthur: Heh… You're too smart for me, Sister. I guess I… I'm afraid.