To me, sad movies are not necessarily depressing. I have two that will make me sob every single time I watch them.
We Are Marshall
: entire football team dies in a plane crash, all except for the one team member who didn't go to the game because of his injured shoulder. He makes it his mission, along with the new coach, to take the field again with a new team. There is a scene where he is obviously playing in agony, and the coach repeatedly punches his shoulder to demonstrate that he cannot continue to play. He breaks down, because he is so wracked with survivor's guilt that he feels that he has to carry this whole team.
And one of the first scenes, as one of the athletes' dads runs toward the plane wreckage shouting, "Is that our boys?! Is that our boys?!"
The other is Taking Chance
, about an honor guard accompanying home the body of a soldier killed in Iraq. Passengers on the airplane lining up on the tarmac in silence as the casket is unloaded. The thousand little ways people pay tribute to this soldier they don't know, honoring his sacrifice. The stoic way the honor guard sits with the casket so that the dead soldier is never alone. I cried all the way through that movie.