For me it would have to be PS I Love You. I wanted to go to the cinema to see it but couldn't convince my friend to go with me. I'm so glad I didn't go because when I rented it I cried all the way through and would have embarrased myself in the cinema.
I think the book is better though as it was just as sad but also had me in stitches throughout. I highly recomend it.
Marley And Me
The Imaginarium Of Doctor Parnassus (although that was because it was Heath Ledger's last film)
Atonement
The Boy In Striped Pyjamas
Nativity (although I was crying with laughter at some parts aswell)
I think it was in 2008, but gotta mention Milk. I was a wreck.