I can never watch Grave of the Fireflies again, as I dislike getting dehydrated and depressed from crying for the ENTIRE MOVIE. -_-
Also like many people, FMA. Both the series and the movie (like, whenever Al cries in the movie it makes me cry ;_;)
And in Jyu Oh Sei:
[spoiler]
The last 3 episodes, when Thor is battling to become the Jyu Oh. Tiz dies and then Second learns that earth was destroyed years ago (he was a government spy on the assumption that they would send him to Earth after his mission was completed). And basically everybody dies for Thor. The end. =-=
[/spoiler]