Atonement is pretty high on the list for me. It's just so damn depressing in the end. More so than Titanic for me. I hadn't read Atonement, so I wasn't as prepared. I knew what was going to happen in Titanic the moment they met.
The crash scene in We Are Marshall hits me hard, as does the opening and closing scenes of Saving Private Ryan.
Mask (not The Mask with Jim Carrey) with Eric Stoltz as Rocky Dennis is pretty sad.
The version of Dr. Zhivago that Keira is in is sad as hell when she tells her son to run away.
The Blues Brothers 2000 made me sad because it was such a steaming pile of shit. They may as well have dug up John Belushi's corpse and urinated on it. The remake of The Bad News Bears is pretty much the same for me.
"Purgatory's kind of like the in-betweeny one. You weren't really shit, but you weren't all that great either. Like Tottenham."
I'll try being nicer...if you'll try being smarter.