I second the ending to Forrest Gump, it was very sad.
Frankly what can get me crying even if it's not supposed to be a tear jerker is the sound track. But here are a few I thought of that were genuinely sad.
Saving Private Ryan. The ending at Normandy? So very sad.
Platoon. The sound track really really helps it along, but seeing bodies dumped into shallow graves is heartbreaking. And it was so fruitless. You had already been exposed to the worst depravaties possible and you even saw friendly fire during the movie.
Gone with the Wind when Scarlett finally figures out she's been selfish, but it's too late. Rhett leaves and famously says "frankly my dear I don't give a damn."
But first thing that came to mind? The ending to Gladiator. That movie was such a awesome movie, and the end was so sad. Maximus wasn't a Christian, he wasn't seeing his wife and children again, which was so saddening as he had been such a good man. He fought so hard not to give in to the evils of the culture around him, even though he had to kill people to survive.
And, the United States is a republic, regardless of what anyone tries to say. The idea of a man dying to save a republic is so deeply American. And he died in vain, which is also so deeply and saddeningly American. When I see that movie, I can't help think that America is so very like ancient Rome.
Plus, that movie was such an adrenaline fest that the ending is bound to bring a grown man to tears. And the soundtrack. Sweet mercy that movie needs to be watched in surround sound, and none of these little cube speakers either. The sattelites shoudln't have anything less than 6 inch drivers for the low end and a good dome or ribbon tweeter for the top end (with a midrange if it's a ribbon tweeter). And the front should be full sized speakers, with a hefty sub. The beginning scene with the barbarian horde should cause structural damage. It's movies like that which make me glad I picked all the speakers out of the trash I have over the years. Big and clunky yes, but they blow the little sattelites my friends have spent lots of cash on out of the water.