I've watched a fair number of anime and have come across a decent amount of moments that I would consider "sad". but If I listed them all we would be here for a while, so here is a moment from something recent.
Togame's death from Katanagatari. Why Nisio? Why did you take away my cheerio? No but seriously her death was tragic but unavoidable, it may even have been for the best at least from Shichika's pov. and yet I still feel immensely sorry for the cursed princess turned strategian. ( TДT)