Sophie's Choice was very sad. Her inability to love anyone for fear of hurting them because of her traumatic past was tragic. When They toast Stingo's first publication on the Brooklyn bridge.. the love and friendship made me tear up. The scene where Stingo finds Sophie and Nathan dead in bed. Of course, the scene where Sophie had to choose which child would die when she got caught stealing the ham.
Armageddon - Seems like a silly choice, but that scene near the end when Ben Afflec says to Bruce Willis that he was like a father to him... damn.
Saving Private Ryan - Mostly the scene in the abandoned church where the young medic tells the story about how he pretended to be asleep when his mother got home from work. As a result he hardly saw his mother. Later on, while he was dying on the battlefield, he was calling to his mother. Oh man.
Brokeback Mountain - I also cried like a baby, for Jack, for Ennis, for the pain that their characters caused their families. Getting a post card returned with "DECEASED" marked on it is so harsh.
Elephant Man - Damn the ending was very sad when he decided to sleep normally, knowing that it would kill him. He wanted to be normal and didn't want to continue being a burdon to his keepers.
Cinema Paradiso - The ending when Toto finds Alfredo's stash. This movie had many powerful scenes, but that topped them all.
Ordinary People - The end when the father realizes that his wife lost all emotion after her firstborn, and favorite, son died. Despite the pretense, she could no longer love anyone in the family. I was sad for the son, the wife, the father.
84 Charring Crossroads - They didn't even meet!
To Kill a Mockingbird - The scene where Atticus had to visit Tom Robinson's family to tell them that Tom had been killed.
House of Flying Daggers - The decision she made at the end of the movie... much more climactic than the ending of Crouching Tiger.
Elizabeth - The Virgin Queen - When Robert Dudley dies she seemed truly heartbroken. The tears poured out of her. The pain seemed so real.
Somewhere in Time - The end when Richard meets Elise after they are both dead. (the movie involves time travel.) Knowing that Elise must have pined for Richard for decades when she visited him as an old woman to give him that watch made it much more sad.
Sam's Son - A made-for-tv movie starring Michael Landon. I saw it as a kid. I can barely remember what it was about, but I remember crying alot.
Romeo and Juliette (Roman Polanski's version) Thus with a kiss, I die. He made the tragedy seem modern and real... maybe too real.
The Passion of the Christ - I am not religious, but I believe that Jesus existed and that he was punished in the Roman military tradition of torture then crucifiction. I admire any man that is willing to suffer brutal torture and death for a cause. Seeing it was almost torture in itself.
Sling Blade - It didn't make me cry, but the whole damned movie was sad as hell.
The Champ - One of the first movies I saw in the theatre. My whole family cried.
I also found Million Dollar Baby, Mask, The Outsiders and The Hunchback of Notre Dame (Charles Laughten's), The Lion King to be very sad.