The one that came to mind was (I think it's an Australian movie, so you guys may not have seen it) called 'Japanese Story', a Japanese man comes to Aus and an Aussie woman ends up falling in love with him, but he dies, you'd have to see it to feel the pure anguish.
And it's kinda relentless in that there's scene after scene just so depressing and sad.
But it's great if you need to cry
