Starting to think Shin Sekai Yori belongs here. This anime is amazing but jeez....

Grave of the Fireflies.

Gunslinger Girl

At first it seemed alright but the more i watched it, the more sad i got!

Clannad and After Story
Angel Beats
Little Busters.
These three have a good mix of comedy and slice of life, but they definitely become tear jerkers over time.

Tokyo Magnitude 8.0

Rainbow, those 7 friends, what a journey. I highly recommend it!!

http://myanimelist.net/anime/6114/Rainbow:_Nisha_Rokubou_no_Shichinin

ya id have to say gantz

Definitely has to be Rumbling Hearts . That anime was so darn depressing.

Other anime that have made me cry, but weren't really depressing were Paradise Kiss and Ouran High School Host Club

Of recent memory, I'd say Deadman Wonderland and Casshern Sins were big downers.

But Rurouni Kenshin: Reflection really got my soul.

The Manga is worse.

Mm for now Saikano.
And
The first 10 minute from episode 1 of Kotoura - San xD.

Anohaha probably, though it's more bittersweet rather than depressing. I like bittersweet.

- Elfen Lied - Solid plot, just too brutal/depressing for me to handle.

- Rurouni Kenshin: Reflection - Sad ending... My ideal ending for pretty much any series I watch is a "happily ever after" one. I understand that can't be the case for everything, otherwise things would just get dull/predictable, but I was really hoping that Rurouni Kenshin would end in Disney-like fashion! It didn't... I mean c'mon! 95 episodes of mostly awesome sauce, an amazing prequel OAV and a final 90 minutes to close it out with the "happily ever after", but nooooo they had to go the serious/depressing route!

- School Rumble - Ugh... Definitely my favorite anime series/manga until it got towards the end... and then... ugh..... Thinking about it now just bums me out and I finished this series years ago!!!

- Toradora! - This is actually one of my favorite anime series. A great story with loveable characters and it almost nailed my perfect "happily ever after" ending requirement haha. Just give me a... ...and we're golden!!! I'm just bummed that it came to an end! Makes watching the next series on my queue a challenge... The bar's too high now!!!

Most of the animes from Kyoto and Key Visual

Nana ( I couldn't watch the whole series ), Angel Beats, School Days, Code Geass ( but I still love that anime ), Gurren Lagann.