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It's hard for me to think of any really "sad" films--Hollywood is too fond of tacking on happy endings to sell more popcorn.
But there are a handful of films that contain scenes that are unintentionally "downers" for those few of us who know what happened off camera. One is in the generally upbeat How the West Was Won, the scene where lawman George Peppard is having a shoot-out with his outlaw nemesis Eli Wallach on a moving train loaded with various equipment that starts sliding around. You probably remember one scene where one of the outlaw gang is hanging from a log or board on the loose end that has swung out from the train just as it is crossing a bridge. The outlaw loses his grip and falls into the gully below. It's a quick shot and a brief element in an entertaining film. However, the stuntman playing the outlaw missed his mark and therefore overshot (or maybe undershot) the prepared landing point. As a result, he injured one leg so badly that it had to be amputated. (If I recall correctly, the guy was the husband of Yvonne De Carlo.) Anyway, every time I see that scene, I remember that I'm seeing a person doing his last stunt and the last time he could walk with his own two feet.
I know of at least two fatal plane crashes during filming that we never see. One is in the original Flight of the Phoenix in which a group of men stranded in a North African desert managed to reconfigure their wrecked plane fly to safety. There's a scene in the closing minutes of the film where the hand-made aircraft, supposedly piloted by Jimmy Stewart, comes in low over a populated oasis and then zooms out of sight behind a sand dune. Supposedly the aircraft has landed because in the last scene all of the survivors come staggering into the oasis laughing and slapping each other's backs. The aircraft is never seen again because when the camera caught that last shot of it going behind the sand dune, it was just seconds away from a crash that killed the stunt pilot.
There's a similar scene in It's a Mad, Mad, Mad, Mad World in which a twin-engine aircraft--supposedly with Mickey Rooney and Buddy Hackett at the controls after drunken pilot Jim Baccus has passed out--crashes through a big billboard on a hill. You see the aircraft hit the center of the billboard and go right through it taking out the sign that was posted there. What you don't see is that plane going down just out of camera frame, killing another pilot.
Then of course there are Vic Morrow and the two children killed in the filming of the not-very-good film The Twilight Zone, all because the director wanted bigger explosions for his special effects.