Figure 17 - Tsubasa & Hikaru - very sad in some parts, left me nearly as depressed as KgNE (I happened to hate KgNE though...)
Full Moon wo Sagashite - also very sad in some parts, especially towards the middle/end. but in this case I enjoyed the feeling
The ending was a happy one too, which is a good thing imo
Juuni Kokuki - not sad, but among the best of the "chosen one" type anime