Well The Green Mile was on Channel 4 (United Kingdom) last night, and I almost held myself back, but it's a very sad film. The Green Mile is the only film I have cried to that I can remember (I think when I was 3/4 I had a Thomas the Tank Engine video that did it, but that was a long time ago) and so far each of the 3 times I have seen it it has made me cry at the end. This time I deliberately switched channels for the execution of Eduard Delacroix, which is a sickening bit of film, but not as sad as the ending.
Book Wise the first time I read His Dark Materials I cried (this was 7/8 years ago) and more recently the trilogy by Lois de Bernieres has also had a tear shed, specifically in the second book at the death of the character Lazaro, as well as when Anica dies.
Are there any books or films that have ever made you cry? Any other mediums also, though I can't say I have ever cried over any music or a video game... they don't seem to be able to portray sadness like films and books can.