Anime that makes you connect to the character
 

Can someone list some good ones?

death note if you havent seen it, you'll deffo connect to a character

Could you clarify what type of connection you are looking for please. Everyone connects to characters for different reasons and at different levels. It'll help a lot if you could narrow down the criteria for us.

connect to a character dramatically (someone close that dies), romantically, or some sort of achievement the character gets that makes you feel for him/her.

Romance Slice of Life animes with lots of intense moments:

Kanon 2006
Air Tv
HantSuki

Action / Romance animes:

Fate Stay Night (specially the ending)
Saikano

Animes with characters that are willing to protect someone with their lifes:

Flame of Recca
Zero no Tsukaima
Busou Renkin
Shounen Onmyouji
Elemental Gerade

kinda vague on that statement since majority of animes focus from a person's perspective and mainly designed so a persona can relate to them. But ill give it a shot

Shinigami no ballad-in every episode someone dies or has died and it greatly impacts their soul, leaving regret and saddness amongst their loved ones. Many of the episodes(though there are only 6 lol) mainly helps the ones left behind by the deceased come to terms with that they shouldn't be burdened by their deaths but should move foward with their lives. Theres romance in every episode.

Hantsuki-another 6 episode series revolving around two seventeen year olds in a hospital due to serious sickness and meeting, falling in love, and as expected heart breaking obstacles

Mushishi-every episode never shows the same people(other than the doctor-2/3episodes and genko-the protag himself). Story mode is similar to shinigami no ballad where genko travels(due to the fact he attracts mushi if he stays in an area too long) and solve cases of mushis which have destroyed/complicate peoples' lives.

Welcome to the NHK-slice of life towards the otaku's or hikimories who isolate themselves from society and exposure to stepping out of their doors cause them to go into a panic or become highly paranoid.

True Tears- one of the newer animes this year about love triangle, drama, tears, and something about a roach under someone's shoe

Gurren Lagann fills that spot XD
prepare for a month of depression!

Yuzuyu from Aishiteruze Baby clutched on to my soul and I had to watch every episode in one sitting.

Oppinion
 

Bleach and naruto depends on wut kinda connection ur looking for

thanks a lot guys. i will definitely look into Aishiteruze Baby,Gurren Lagann - since the "month of depression is what im looking for-, and hansuki and shinigami.