People keep tossing up threads asking what the saddest anime/movie they've seen is, but the thing that hit me the hardest was when Pikachu leaves in "Hey you, Pikachu!" (that N64 game, yes). You play through the entire game with him, and then he goes off with his herd or whatever. Then your character is walking home, and you keep seeing mirages of pikachu, like you expect him to be around the next corner.
I don't know, but that just made me sad.
Anyways, next on the list would be Pokemon Heroes. I haven't actually seen the movie, but I've read the synopsis and seen an AMV using scenes from it, which were both rather sad.