I think a good many moments were sad by all accounts, to be honest. I suppose by volition I'd say Misty's goodbye and Ash's first sacrifice for Pikachu (against the filing Spearows in the first episode). I'm rather torn between them. Misty's goodbye ran me through pretty viscerally and deeply, and at the time I didn't see it coming. But Ash's inaugural sacrifice for Pikachu is one of the most critical moments of the whole series - it sets the tone for both their relationship and the series as a whole (along with shaping many of Ash's and Pikachu's characterizations).
Both the dub and the Japanese version worked well, as did the music used (it was great application of "Tears after the Cloudy Weather" in my opinion). I did prefer the theme 4Kids used as Ash was peddling away from the Spearows to the Japanese track used, though ("Pokémon Battle!") - not that the track itself was bad at all (as it's one of my personal favorites), just that it made the scene seem too upbeat (so as to probably pump the viewer to cheer for Ash) when the more sinister, saturnine, yet fast beat of the 4Kids' track worked better (and has a better connective facet when it comes to transitioning to "Tears after the Cloudy Weather" to me). I like that 4Kids' track allows the sheer tension of the scene to build towards the dire pitch that it has (but to reiterate, IMO).
Similar sentiments apply towards "Pikachu's Goodbye" - it put Ash in a moral struggle far more complex than what he has to face most of the time (IE, Team Rocket attempting to capture Pikachu or Ash just getting transiently separated from Pikachu) - to leave Pikachu in its wild and natural environment or not. It touches upon the notion of just wanting to revert to simplicity more than anything else. It's definitively a highlight and very poignant IMHO. "Snow Way Out" also comes to mind, along with "Bye Bye Butterfree" and "A Scare To Remember".
Other than that, Lucario's and Sir Aaron's deaths were also very moving and prostrating in my eyes. And while I do agree that Ash's temporary death in Movie 1 was a sad moment, to me it just felt... I don't know. Pried. Like the impact was a tad rushed and light to be had. Like Mewto only extended his emotional wings. Many cruxes in that film just felt like they were forced upon the audience rather than the characters for me. Then again, I feel that movie could have benefited largely from the Mewtwo backstory cut (which gives him so much more breathing space and background). But I feel the film did effectually show what happens when one takes hate and violence too far (as self-destructive as such can be) - it ends up affecting everyone, but even more yourself as it begins to be directed inward by nature.... well, anyway, not to be too off-topic to the thread.
That's not to say that those are the only moments in the series that I feel are dejecting - there are a good number of them, as stated - but those would be the saddest IMO. I suppose if I had to choose the saddest moment, though? I'd give it to Misty's goodbye (provided that she's one of my favorite characters). Despite that she became little more than wallpaper in the Johto seasons in my eyes, I still missed her immensely after her departure... a departure which I felt was very sad.
