Blue Gender.
Dear god, Blue Gender. I've searched for the video on youtube, but could never find it. Pretty much, it shows the main character battered and broken, looking at a little girl he befriended during the episode. He blinks, and then one of the aliens swoops by and takes her. Then, her dog comes up and just sits on the spot where she was, as if waiting for her to come back.
I haven't seen it in a while, but I'm fairly certain it would still break me.
And, the saddest moment in any cartoon I've ever seen is in Rugrats, the Mother's Day episode. The whole thing really, but specifically at the end where Chuckie's Mother's voice reads the note she left for him before she died. I can't not cry during that.
Movies, I don't know when I last cried at a movie. I did shed a tear during Moon. Most depressing, soul crushing film I've ever seen. Though it wasn't full out crying, so I'm not sure it counts.
Game, nothing. I don't think I've ever cried during a video game.