Angel Beats had some sad scenes but not enough to make me cry.
Elfen Lied was also quite sad but still not enough.
Clannad made me close to crying.
The Code Geass ending didn't really make me cry, because like someone said before, its obvious he's still alive and living with C.C. Who wouldn't want to live the rest of their immortal life with a hot, young (well, she looks young) petite, green haired chick?
Believe it or not, there was one scene in Naruto that was quite sad but I forgot what it was because every character in that freaking anime has a sob story.
Toradora was also a bit sad at some parts and the soundtrack really helped make you feel the different moods throughout the series, but the ending wasn't so sad.
Eureka Seven wasn't very sad at the end, but it sort of gives you an empty feeling. Same thing as Eureka Seven AO. I mean, the dude saves the world but no one remembers him anymore?
Haruhi Suzumiya was the closest to make me cry. The endless eight arc was absolutely DREADFUL, hated every minute of it. And the ending of the anime didn't even really reach a climax. And while the movie was great, it also didn't leave a climatic feeling.
Gin Says, Just Do It!