I agree, Grave of the Fireflies was a tear-jerker. And also extremely difficult to watch the second time round.
Another one (that I'm sure someone has mentioned) is Chrno Crusade. It had me bawling, what with what happened to everyone at the end and the fact that
Also, I'm religious so it impacted me in a different way as well. It was just very emotional, and I doubt I'll ever watch it again for that reason.
A couple others are Ayashi no Ceres (for obvious reasons to whoever's seen the anime), and Paradise Kiss at the end. Yesh, I know I'm a romantic sap, but in my defense it was a very sad ending.