I cried watching so many anime series before..
FMA (really sad when Nina and hughes died)
X TV (it's very touching.. i just can't stop crying.. but not sure why i cry)
Toki wo Kakeru Shoujo (quite sad at the end)
TRC (Kurogane has such a sad past.. -sob sob-)
Hikaru no go (when Sai suddenly leaves...)
and many more..