[Keitaro]

Yes Yes I agree all those mentioned above were tragic

Heres some other characters that I felt met an tragic end

Kanon

Spoiler:

The little fox girl who turned herself into an human, so sad brought some tears to my eyes

Grave of the Fireflies

Spoiler:

The little girl, just seeing her in a makeshift coffin made me break down into tears. I have no mercy for Seita I find him personally responsible for his sisters death.

Violinist of Hamlin

Spoiler:

Damn forgot his name, hes the guy who plays the violin and turns out to be the demon kings son. Anyways he turns into an crazed demon and is killed by his childhood friend/lover to save him and her people. I found that to be very tragic and depressing.

Millennium Actress

Spoiler:

Its kind of like Fullmoon wo Sagashite but instead its about a girl who searches for a man who she met once and fell deeply in love with him only to find out that he was dead at the end. I think her name was Fujiwara Chiyako.