FMA was a sad one for me. I completely bawled when Envy killed Hughes. And then there was the whole scene at his funeral when his daughter was confused about why they were putting him in the ground. Oh, it hurt my heart. 
Other parts that made me cry was when Nina died, the last episode, and the movie.
Other animes that made me cry:
Chrono Crusade (Last episode)
Trigun (the episode where Woolfwood died)
Blood+ (the episode when Diva killed Riku)
Fist of the North Star (the movie)
I can't think of any other anime that made me cry. I think that's it.