Donnie Darko (not in a sad depressing way, but in an enlightened, relieved way. I'm OBSESSED with this movie, its actually a little scary.)
My Life -- Michael Keaton gets cancer and makes a film for his unborn son. I don't think there could be a more depressing film than this one, if you want to cry, see this, its amazing.
Saving Private Ryan -- Just so much emotion in the whole movie, war is a scary thing and movies like this remind me how mortal we all really are...
Requim for a Dream (The whole scenario with the mother and the red dress gets me every time...so depressing... all I think is "What if that was my mom?" so frightening.)