OMG Plastic Memories made me cry in almost every episode. I cry easily though haha.
I think the saddest anime I've seen is Air (based on the visual novel by Key. I enjoyed the anime more than the novel though). The scene where Misuzu thinks Yukito has abandoned her, and she just throws herself on her bed sobbing, was really sad. That is one damn talented voice actress (Japanese version) I've never heard anyone in despair like that in any film or even in real life. And the scene was like 5 minutes of just her sobbing and crying. It's stuck with me for years.
Most of Key's stuff is really sad (which I like lol I love tear jerkers) Kanon and Clannad are both sad too!