I don't think I have ever cried in a movie. I may have cried during the D-Day scene in Saving private Ryan, but I can't remember. I didn't notice what my body was doing because I was so absorbed and horrified by that scene.
Other than that the closest I've come to Crying was the end of Shcindler's List and the end of The Fellowship of the Ring(man, this film feels out of place with the other two, but the scene with Sam and Frodo at the end in the boat really gets to me).