Saddest Endings You have seen.

[Demonfyre]

When ash was turned to stone!!!!!! *Cries in a corner*

Seriously though, the futurama dog incident :/

[Shnorkel]

Elfen Lied's saddest moment wasn't the ending, at least for me (personally, I found the ending to the manga more hopeful than sad). It was:

SPOILER! :

Kouta's sister is cut in half and killed right after he insults her. He is never able to apologize, and therefore has to live with the guilt forever, and she dies thinking he hates her.

[Owithrow]

The first time i watched angel beats, i didnt watch past the credits so it was much sadder

[Outcast]

Oh yes Xam'd had a rather bittersweet ending.
Even more so depending on how you interpret the ending.

SPOILER! :

It's not explicitly stated if that's akiyuki or the emperor at the end.

[Bacon_Barbarian]

If we're sticking with strictly Anime and Manga, TTGL has a pretty sad ending. And I imagine Gantz will too. But maybe not.

When ash was turned to stone!!!!!! *Cries in a corner*

Seriously though, the futurama dog incident :/

Oh God. Both of these.

[eltoroguaco]

"If it takes forever I will wait for you
For a thousand summers I will wait for you"

[Delphinus]

Grave of the Fireflies. How is this even a question?

SPOILER! :

The main character's younger (toddler) sister dies from starvation because he's too proud to go back to his relatives for help. She ends up being cremated in a tiny wicker coffin.

Closely followed by the Girl Who Leapt Through Time.

SPOILER! :

It has more than one ending, because it's about time travel after all. The first ending - she lends her bike, which has broken brakes, to a close friend, who rides on it with his girlfriend. They end up plummeting down a hill and in front of a moving train, which is how the movie starts, except it's the main character who goes downhill. She's only saved because she picked up a time travel device.

The second ending: she keeps looking for the boy she loves but can't find him. He's completely vanished back in time, and she never sees him again.

The third ending is a happier ending.

[Regantor]

Jin-Roh Wolf Brigade, easily. So much so I was actually pissed off about how depressing it was the first time I saw it.

Who would have thought that an artsy romp about a (badass power armoured nationalist) soldier falling in slightly unhealthy love with a possible terrorist would turn into one of the biggest 'kick the dog' stories going?... It actually reminds me of the sort of 'well what did you expect?' thing that the director did with the end of Pan's Labyrinth. Making you earnestly hope for the best, and then POW, super-charged depression punch, right in the face. -_-

[Outcast]

Huh just discovered the kerberos saga myself.

[AlmanacnamedTime]

Grave of the Fireflies is a pretty bad one. It's not even a spoiler to say the kids die at the end - the film tells you that right at the beginning.

TTGL has a pretty sad ending.

These.