Off the top of my head: Heaven Can Wait, Dragonheart - I know, I know, it's pathetic - and The Green Mile, but there are many, many more. When it comes to TV series, the top ep is when Doctor Greene dies on ER, closely followed by the Ally McBeal one where Billy dies (separation issues much? LOL) and the last Ally ep.
Pretty much anything will make me cry if I'm in the right (or wrong) mood though, and I've completely stopped watching animal rescue type shows and even wildlife shows - I cry if the baby gnu gets killed by a lion, and if the lion doesn't kill it, I cry because the lion cubs won't get anything to eat... There's just no getting around it: I'm old and sappy.