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.