IMHO Pikachu's Goodbye was the saddest of all the episodes I've seen. And even Jessie and James sending out their Weezing and Arbok was having a sad tone.
EDIT: Even Memories Made of Bliss really saddened me, the most saddest goodbye episode in Pokémon.
The episode that just aired, "Seeking Shelter from the Storm!"
The second half of the episode caught me by surprise.
Spoiler:I thought Espurr was lonely and found an abandoned mansion to live in, but it turns out that an old lady who owned the mansion was Espurr's best friend. She loaned a pendant to Espurr but when Espurr came to return it, she had passed away. Espurr didn't know she had passed away for quite a long time until the lady's granddaughter told it at the end of the episode.
;__;