I think Seven Pounds is the film I cry most at, that film actually ruined me. I was crying during it and then for about half an hour afterwards too. It was like there was a dementor in the room, I was so empty and sad.
Saying that I cry at the 4th, 5th, 6th, 7th and 8th Harry Potter films EVERYTIME.
GoF - when Amos says "That's my son, that's my boy" about Cedric.
OotP - When Sirius dies, of course, heart breaking as he's one of my favourite characters.
HBP - When Dumbledore dies.
DH1 - when Hedwig and Dobby die, especially Dobby.
DH2 - over everyone's death pretty much, except Bellatrix, though she's also one of my favourites. Also when Harry's at the Pensieve watching Snape's memories and he's talking about how Harry has to die (obviously I know it all ends well, but it still makes me sad).
To be fair, I cry at so many films that most people don't find sad.
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