I don't know about tears, as such, but the NOVA documentary about Watson included a video clip from the end of the famous Kasparov-Deep Blue game. It showed him angrily storming away from the table after being beaten; the way the video was cut, in combination with the narration, gave the impression that he was something of a sore loser. Note, however, that it was a very short clip, and there was probably a lot of context that didn't come through.

Here is an interesting eyewitness writeup: http://www.chessbase.com/columns/column.asp?pid=146

It says nothing about crying but portrays a very gloomy mood. It seems that Kasparov made avoidable mistakes and that really got to him.

Maybe he was angry because he felt like he wasn't performing at the top of his game, and that if he did perform at the top of his game, he might have won. I'd feel pretty angry if that were the case.

Sure. But that's the point of commending someone for handling loss with grace and humor: it's contrary to their immediate emotion.

True, but it's my understanding that he asked for, and was denied, a rematch.