Flowers for Algernon, definitely up there. Outcast of Redwall comes to mind, because it's on my bookshelf, I was so upset when six-claws died (I think that's his name, the bad one who redeemed himself...)
I found Great Expectations really sad at moments, I felt my eyes tearing up when Magwitch died. That and the ending of The Amber Spyglass which was absolutley devastating.
I thought some parts of A Clockwork Orange were very sad. Especially when Alex realizes just how effective the Ludovico treatment has been. 1984 has already been mentioned. I felt kind of... empty after I had read it, since the whole book is so full of despair and hopelessnes. I haven't read it since I was ten or eleven years old, but I remember that I thought The Brothers Lionheart by Astrid Lindgren was one of the saddest books I had ever read back then. It deals with some rather dark themes, considering it's a children's novel.
I remember crying at the end of Where the Red Fern Grows Sounder was equally uplifting for a Newbury Award winner
I cried just last week when I read Wonder by R J Palacio. Basically constantly through the last third of the book.
Red Fern Grows by Wilson Rawls. I have read many books with sad endings after this, but this is one of the books that has left an impact. It is one of my favorite book...
And Dying Inside (I think that's what it was called) by Robert Silverberg. Great premise (a man with the ability to read the thoughts of others, slowly losing his 'gift') and wonderful execution.
Saddest book I've read was a Memoir, called Wave. It's written by a woman whose 2 sons, her husband, and her parents were all killed by the Tsunami in 2004. Just so very sad, but a very well-written book.
Death Be Not Proud by John Gunther. It's a memoir about Gunther's teenage son, who had a brain tumor and died at the age of 17.
Entwined made me tear up a lot, along with Stolen: A Letter to my Captor, Perfect You, and Love is Hell . But above all, I don't think I've cried for any book like I've cried for The Fault in Our Stars.
I was about to say The Grapes of Wrath when I read this post. Grapes is just relentlessly depressing.
I read the kite runner a while back and although I didn't like the book it was pretty sad. People said 1984 was sad? I really liked how that book ended... I didn't think it was sad at the time because I was so surprised at how things turned out but looking back on it now I guess it was... huh.
Flowers for Algernon (even though I never finished the book, I know how it ends and that's enough)(although I really want to finish it someday) and The Book Thief.