I dunno there's quite a few..
I can't say I have a favourite though but they're all on a par. The order has nothing to do with which one is more emotional
1) Sarutobi's Death
2) Spike Spiegels Death (and events leading up to it)
3) Brad dying in Trigun and Vash crying
4) Butterfree leaving Ash in Pokemon (yes it was sad ;/)
5) Vash acting like a dog in Trigun..
6) I know this story arch of Naruto is a filler but... Menma dying in episode 214-215 dying was pretty emotional ;/
7) Goku having to leave because he's already dead and Goten hugging him, not wanting him to go.
8) The Rurouni Kenshin movies.
9) Goku going SSJ3 was pretty upliftingly emotional.
10) Elfen Lied is wholly a tragic Anime. Its full of emotional scenes.
I could go on but 10 is enough I guess.
