I'm surprised no one has mentioned the Red Wedding. I didn't cry (and having read the books beforehand, I knew it was coming), but there seemed to be a fair number of ladies balling in the post-episode reactions that were all over Youtube at the time.
Nope, that can't be it. They're both pretty damn sad.
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Here, if you have a milkshake, and I have a milkshake, and I have a straw. There it is, that's a straw, you see? You watching?. And my straw reaches acroooooooss the room, and starts to drink your milkshake... I... drink... your... milkshake!
-Daniel, There Will Be Blood
Six Feet Under finale - wept like a child and I don't know who didn't.
There's also one episode in Sopranos,I think it's called University,about one girl at the strip club.I don't remember if I cried but it really was sad.
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"Anything less than immortality is a complete waste of time."