Saving Private Ryan - When Captain Miller died, and when Ryan was at the grave at the end, talking. My heart just ached, and I could not stop crying for ages after the credits. That film affected me more than I could've imagined, I cried diabolical amounts during it.
The Green Mile - When John Coffey was executed. 'Nuff said :bawl:
Serenity - When Wash was unexpectedly skewered, and Zoe's reaction. Oh dear Lord, it kills me everytime.