I havent cried from watching movies or playing games in a long time time but that doesn't mean i havent been moved. So far the saddest story i've seen would have to be the second to last episode of "Jigoku Shoujo Mitsuganae".
The main character finds that her whole life has been an illusion and learns that she died long ago when her father died in a bus accident that everyone blamed him for. because of this no one whould giver her mother the medicine she needed and she died with her daughter buring her in cherry blossoms. she went back home and died alone and forgotten holding the stuffed animal her father gave her just before he died.