1)
Code Geass - Shirley's death, and also Euphemia's death. Both felt unnecessary and left with me a with a horrible sinking feeling of "oh god no...but why? WHY??". The sadness of it all was overwhelming and left me trembling in my chair
2)
Harry Potter and the Order Of The Phoenix (The book obviously, the movies can go screw themselves) - Sirius Black's death. Also Dumbledore's death while we're at it.
3)
Naruto - Jiraiya's death. I shouldn't even need to explain this one. He was one of those badass loveable characters and I honestly didn't see his death coming, really hit me hard. And I was reading the manga FYI.
4)
The Iron Giant (1999) - when the Iron Giant had assumed Hogarth was dead (he wasn't, but the giant's reaction still brought me to tears). Also when the giant sacrified himself and flew into the nuke.