Episode wise, the episode when Pikachu almost leaves Ash was sad for me when I first saw it, but it probably wouldn't be now. Not many episodes have made me very sad.
Movie wise, the 8th movie, when Lucario finds out what really happened with Aaron still makes me cry after I've seen it about 100 times... but I refuse to believe he actually died... that's just me. Latios' death in Pokemon Heroes was also really sad, that makes me cry too. About the 9th movie, I was a little sad the first time I saw it, but it doesn't really affect me much. I thought Manaphy and May's relationship was really cool.