friggin Grave of the Fireflys.
Watch it and cry.
damn man, you jump in and hit the nail on the head one time... you knew it couldn't end well but to see her hallucinating the rocks were food was... whoa...
also this Thai movie Shutter, the kind of twisted happy ending was sad, but you knew he had it coming...
I agree with the poster who said the end of the godfather series... but what about the end of part II? when Michael had the flashback of when everyone was friendly with each other, and look at how things ended up turned out, and for what.
This might not count as its a tv show, but the way the Season 5 Finale of The Shield ended was very sad...