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Kratos said:
I cried (a little) at the end of two futurama episodes. Jurassic Bark (the one with Fry's dog, really sad story) and Luck of The Fryish (with a very very touching ending about Fry's brother).

 That damned dog episode! I refuse to watch it with other people around. 

The only movie I can think of right now is Requiem for a Dream. Such a sad ending. I know there's more though.