AnoHana was pretty sad but didn't make me cry. It's because I thought there wasn't really a clear alternation between sad and happy. It was sad, but because there weren't a lot happy moments - at least none happy enough to make the sad ones stand out - the sad moments got a little blah.
Naruto was very sad at times, as well as Bleach, but overall those aren't really sad anime.
Tekkon Kinkreet - allthough a movie and not an anime - made me cry a little, and I don't very often so that says something I guess. The movie Spirited Away also had its intense moments but they weren't necessarily sad, they were just very sensational. And Chobits is definitely sad sometimes, too.