Dogma - well one particular scene. It's when Bethany is unable to deal with the revelation that she is a descendant of Jesus and runs away and crashes into the pond/river and starts screaming at God that she hates him/her. Then off screen you hear the Metatron say "He can't hear you" and the next shot sohws him standing on the water. I suppose it's because I have faith that I just find that scene really poignant.
Most other movies that made me cry have already been mentioned. If I wanted to push it though I'd say 2 documentary films.
The first being the Naudet and James Hanlon 9/11 one (the footage from that horrible day), it really brought it home not just in terms of what was lost but how it affected those who survived. The scene where the brothers are reunited really choked me up but the kind of one on one with the firefighters did so in a bigger sense. The scene with one of the veterns (if you will) where he's sat there quietly and tears are in his eyes before he says "Why am I here when so many others are dead?".
Bowling for Columbine too, the part where the CCTV footage of events in the canteen. The students all sitting there just like a regular day and in a aplit second they have their normal student lives, their innocence snatched away from them. The dive under the tables and then the sheer panic as they charge over one another in order to get out and survive, I was only 18 when I saw it and having just left school it made me think "what if it was me in their shoes, what if I lost a friend etc". Sorry if this is longwinded but I felt I should explain it.