Anyone who hasn't said
Grave of the Fireflies needs to buy it/rent it/download it/whatever it, and watch it, preferably with a box of Kleenex or a crying bucket or whatever you use when you want to hide all of your sadness tears. Devastating.
Agreed, this is one of those movies that causes a couchful of sobbing adults.
Other than that, Key anime (AIR, Kanon, CLANNAD + after story, Angel Beats), first half of Gurren Lagann was pretty devastating too.