Anyone seen Lilja 4-ever? Man, that whole movie kills me, its terribly depressing. I don't think I can stomach watching that again, everything about it was just so sad. Fantasizing about a better life and knowing that nothing good can come out for the character even though you so desperately hope so. Also her friendship with the young boy and knowing his tragic circumstances and outcome. It's so powerful, you really want to help these people because they're just so young and you just can't. And situations like this are still so common in the world.
Also Dancer in the Dark. Its like witnessing a train wreck, everything is just so stacked up against her until the very tragic ending. Bjork apparently found it really difficult to film because she was so emotionally attached to her character.
On a more touching scale, the final memory in Eternal Sunshine of the Spotless Mind is just gorgeous. "Come back and make up a goodbye at least. Pretend we had one". Its so emotional and it absolutely melts me.