Oh, I have several.
Most of the dog books I've read, especially if something bad happens to the dog.
The endings of HP 4, 5, and 7. (Poor Cedric and Sirius and everyone in Book 7! Book 6, that death didn't really affect me the same way in the book, it wasn't that sad. In the theatre, I was sobbing on my dad's shoulder, it was embarrasing.)
Phantom by Susan Kay. (Made me cry several times.)