Oh yeah, and Out of Africa. The ending of Last of the Mohicans fits the OP, too.
Eve wrote:
Aw, Evie. We might equally wonder if you have seen any movies since the advent of Technicolor. 
Old Yeller messed me up as a kid. Weird lesson too… If you wanna be a man, ya gotta kill yer dog.
I second Last of the Mohicans.
I also think Behind the Red Door was excellent. It was so sad at the end. I wanted to cry.
This is going to sound strange: Ransom. When Mel Gibson stumbles out onto the balcony after that fatal phone call and he’s just in tears… oh, I composed myself very well that day, I certainly did.
<sniffle> poor mel! </sniffle>
AmatiDeus already mentioned Fearless, one of my all-time favorite films. I second that one strongly.
Dancer in the Dark and Return to Paradise are also great contenders.
“I opened my eyes, and where was I?
I had heard that to die was a journey from light into darkness, and yet here was light again. This was no quiet, endless sleep; I was flying, flying wildly, without weight or effort; spinning, diving, falling backwards and downwards into the mists of time, where my ancestors were worshipped in the temples of Bast, thousands of years ago. Bast, the Cat Goddess; the Goddess with the golden eyes, staring and staring, drawing me upward and upward; then there were flower, flowers everywhere, all around me, touching me, and the sound of music.”
~The Three Lives of Thomasina
Truly, Madly, Deeply, though it’s less about mourning a loved one than it is about letting go and moving on.
There’s also the death of Cyrano de Bergerac.
Romeo’s death in Baz Lurhman’s Romeo + Juliet was extremely affecting, even more so because Lurhman actually managed to improve on Shakespeare.
I didn’t like either myself. “What Dreams” was too goddamn smarmy and overwrought, while the end of “City of Angels” was such a hoary cliche that it already had its own name (i.e., “Truck Ending”) that stands for an incredibly stupid way of ending a story (see Lesson 2 and 10 of Michael O’Donoghue’s “How to Write Good”).
No one’s mentioned Jacob’s Ladder?!?!
And good call on The Three Lives of Thomasina. God, that movie wrecked me when I was a little kid. I’d like to see it again someday. Also Watership Down. Most violent cartoon (aimed towards children, I’m not talking anime here) ever.
Yep, I love both of those movies.
Mothchunks & NailBunny, if you liked Thomasina, track down another, similar book by the original author of Thomasina, Paul Gallico. The British title is Jenny and the American title is The Abandoned. It’s about a little boy who finds himself in the body of a stray cat. Ir I’d read it when I was kid, I would have cried for a week.
Audrey Rose
Love Story, of course. Love means never having to say you’re sorry.
Stupider words were never said, but it was still a two-hankie movie.
Terms of Endearment never fails to put a big old lump in my throat either.
Are you talking about that movie with Tim Robbins? I didn’t think that was sad/tearjerking, I thought it was more head-trippy. I do think it had an interesting theme of death though.
The Return of Martin Guerre
“My Life,” in which terminally ill Michael Keaton videotape his testimonial to his yet-unborn son.
HA HA HA HA HA HA HA HA HA!!
Just kidding- it’s one of my very favorite movies of all time. Another (already mentioned) that’s a major tearjerker for me is “Awakenings”. Also “Born on the Fourth of July”. Major tearjerker.