School Days - you get really depressed while watching the series.
Sola - I think there were some sad scenes or at least they could be editted into painfully looking ones.
Clannad - I prefer the stories that aren't asosieted with the real plot (Kyou ova, Tomoyo ova, + in after story eps 5 and 6 > Sagara Misae x Shima Katsuki)
Bungaku Shoujo - Mostly the movie
Code Geass - I felt like crying at the last ep but I guess you need to see the whole thing to cry
D. Gray Man - I'd say that it has a lot of lonely and sad scenes
Ef - Tale of melodies is probably sadder than Tale of memories