Saikano (one of my favourites) if you like Elfen Lied you'll probobly like this,
But I would recomend the manga over the anime personally.
Higurashi No Naku Koro Ni and it's follow up series Kai and Rei would almost definatly qualify though Kai and Rei are a little bit more upbeat.
Probobly Umineko No Naku Koro Ni as well though I've yet to see this one.
Now and Then Here and There is just about the most depressing thing I've ever seen I can't even finish it.
Grave of the Fireflies abolutely.
Haven't finished it yet but Narutaru is shaping up to be a fairly tragic seires.
Voices of a Distant Star an OVA done by like two people on a home computer and they later added in professional voice actors this one is also damn good.
Romeo X Juliet another one I have yet to finish but considering the source material this one probobly won't have a happy ending.
5 Centimeters Per Second and Barefoot Gen are kinda depressing or so I've been told.
Wolf's Rain (correct spelling) would probably qualify as well.
That's all I can think of right now.
EDIT:
Judgement101 said:
The ending of Code Geass was tragic, also some of the middle stuff was tragic also.
Argh! how did I forget Code Geass? I only finished watching it last week!
EDIT 2:
You could also try Witch Hunter Robin I wouldn't really call it a tragady muself but the twist near the end is both depressing AND highly disturbing.
Sonuva EDIT 3:School Days
