[Haak]

I think the three saddest scenes for me were

Spoiler for Fullmetal Alchemist:

Maes Hughes death in the first season

and

Spoiler for Kara no Kyoukai Film 3:

Asagami Fujino wretched in pain, on the brink of death and lamenting her crappy life.

and

Spoiler for Clannad After Story:

The entirety of Nagisa's labour and death.