Just watched Machine Gun Preacher... pretty sad despite the forced guilt trip. At least the movie gave itself an honest title.
The saddest I ever felt after watching a movie is when Episode 1 came out. I was sad that Lucas made that film.
Grave of the Fireflies, hands down. I stared at my blank screen for a good 15min afterwards unable to move because it was so depressing. Second? The Road. The Road is the only film that's ever made me urge the sole survivor (a kid) in the film to go and kill himself, because his life was so utterly pointless and hopeless.