[Kyuven]

Saikano:

Spoiler:

the death of humanity, or more specifically, Chiise.
the way Chiise sacrificed herself to save the man she loved more than anything (i woulda let him die...i'd rather be dead than all alone on a barren Earth) and then she either leaves behind "Enough of (her) to still maintain her form" or Shuuji just starts hallucinating
plus the final episode finally cleared up the question why Saikano had the tagline "The Last Love Song on this Little Planet"
After hearing about how SAD the last episode would be, i put off watching it for a month before i finally sat down and watched it

Nadesico

Spoiler:

Gai's death. The saddest part was only Akito remembered him, or at least acknowledged him as more than a "casualty of war"
The Admiral that killed Gai: it was very dramatic, even though he REALLY had it coming (i hoped he'd really die with Aqua on that island...) being aided by the 2 things you hate most (Gekiganger and Gai) to help "vanquish" your foes was kinda touching...or maybe that's just an upset stomach
Tsukumo: someone mentioned him earlier. He truly met a tragic death, what was sad was it was used towards the complete OPPOSITE purpose than what he was trying to accomplish