hands down gundou musashi... the saddest excuse for an anime...
gundam seed destiny was also pretty sad. i felt really really bad for the gundam franchise
i like feeling emotional when anime, i like when they make me cry and i dont try to hold my tears from running if one manage to move me enought.
kimi ga nozomu eien made me cry and feel depressed for a long time like no other anime ever made me feel.
school day eventhough it made me laught also made me feel depressed when i put into perspective the feeling of the characters.
a lot of anime that requieres you to do an introspection in order to understand the deepest part or that make you think about the role and meaning of a human being as well as the nature of humanity are rather depressing cause it often pictures humanity as something hopeless. (evangelion texhnolyze etc etc come to my mind)
i find clannad to be mediocre at best yet only 1 moment made me shed a tear in a heartbeat :
that moment really gave me a heartache.
Grave of the firefly is ofcourse a no contest winner and shouldnt even be allowed to compete.