Ho hum lets see.
Well aside from it being generally a skull fuck of a series (imagine trying to digest it in 2 days, brah), in Neon Genesis Evangellion's movie, the part where Asuka goes up against the mass-produced Evas kinda made me sad when she gets one of the spear / sword things in the face.
It's probably just purely based on the proximity since I'm just now watching it, but Angel Beats does manage to be pretty sad. It's an absolutely brilliant concept, and I don't want to ruin the plot for anyone so I'll just leave it at that.
The anime of Fate / Stay Night was somber in it's ending. It's technically happy but fuck all I'm still not satisfied with it.
Oh, and Tengen Toppa Gurren Lagan. Fuck all if I spelled it wrong. And it's a mother fucking quadruple-dipper. You'll know what I mean when I say both the virgins die, the bold one becomes a dirty, friendless hobo and the colossal douche bag becomes president of the goddamn universe. Wat?
God, fuck all it's been forever and by it's own merits it's at best an average game, but the Game Boy Advanced adaptation of Zone of the Enders in all it's shitty old school goodness strikes a chord with me at least- especially the last few levels, like when the protagonist literally throws himself into the vacuum of space to make his woman come to her senses and stop fighting everyone. But then, I also don't play that many games that are tear-jerkers.
Oh, and Tales of the Abyss. In hindsight it kind of feels petty but I kind of knotted up inside the first play through when Luke was torn between disappearing and saving everything and continuing his life.