Toradora MY favorite. Show is perfect, despite the sorta non-climactic ending <3 and they recently released a new ova to go alongside the ben-to series, which brings me hope they'll have a 2nd season sometime ;-; Tons of sad scenes in this one, especially towards the later half the the 26 episodes.
Angel Beats This one is sorta silly to start off with, but can make you tear up towards the end D: I think it was the saddest one I've seen.
Ano no hana (Ano Hi Mita Hana no Namae o Bokutachi wa Mada Shiranai)
This one was sorta new and while I can't seem to recall why atm, I remember it had quite a few sad moments that really worked into a well made (and great looking) anime.
Other ones like
Honey and Clover, Cowboy bebop, Mushishi, Wolf and Spice... are all very good as well