Mmmh. I think Kanon was pretty sad, probably not the saddest I've seen, but I can't really think of any other's at this moment in time.
Edit:
Woah..haha. I didn't even read the post above mine..and I did after I posted.
Crazy. We both think Kanon was pretty sad, huh?
Yeeaah... I love that anime though. It's amazing, and really good.