Here are my top saddest scenes of all times:

1. The Green Mile:

John Coffey's execution scene

2. Cast Away: 

Chuck loses Wilson to the sea

3. The Hobbit: The battle of the five armies 

Kili's death and aftermath for Tauriel

4. The Lion King 

The death of Mufasa and young Simba's grief over it

5. Harry Potter and The Half Blood Prince  

Dumbledore's death

6. Terminator 2: Judgement Day 

John and Sarah Connor have to say goodbye to T-800 

7. Titanic 

Jack's Death, Rose's grief, Passengers preparing themselves and their families to die.

These are all off the top of my head. I am pretty sure there would be tons of others.