I know this might sound stupid, but I cried at the end of Dragon Ball GT. It was said to see the entire thing come to a close. Goku's final words were what really pushed me though.
The Girl Who Lept Through Time was close, but the ending seemed too happy to cry over, and I ended up watching the English dub, which was kind of crap. Not that bad really, buy not even close to good.
Sorry, but I haven't gotten a chance to see any overly serious or sad stuff, just action and yuri. Well, Strawberry Panic! was like that, but it never made me cry.