Actually, I'll be different and say Final Fantasy X before I say VII. They were both really epic, even though 12 is my favorite because of Ashe's story.
But FFX was sad when Tidus had to go... =| and then Aerith in VII, Zack in Crisis Core, yep...
Also, FFIX. It was so sad when Vivi looked upon the dying Black Mages, and then also when Garnet cuts her hair, and ALSO when Beatrix realizes her regret for destorying both Burmecia and Cleyra. (Think it was called Cleyra...)
Also, The sad ending of FFX-2, that's was really teary, lol. And then in FFXII when Ashe struggles with herself, and finally slashes Gerun's ghost of Rasler with the Treaty-Blade, and then Reddas right after that... :'( Gosh so many memorable moments. :)