Babylon 5, final episode. After investing 5 years in it the end just cuts into me. In a good way though, not like Firefly where you're sad because there should be more.
Lots of others, MGS3, Iron Giant (although they ruin it with the SPOILERS 'second ending'). It might be lame but Titanic? that gets me every damn time too. Damn you Cameron, damn you!
and on good old James, Terminator 2..."I know now why you cry, but it's something I can never do" *cue awesome music & cheesy yet touching scene*
Also, so very many Doctor Who Episodes (including the old series) That show just likes throwing tear jerkers at us.