>>1778some of my personal favorites, since I'm an emo faggot who loves emotional pain
Kanon (2006)
Myself; Yourself
Anohana
Steins; Gate
Yahari Ore no Seishun Love Comedy wa Machigatteiru. (somewhat, there are a lot of powerful scenes, although not really as depressing)
Kotoura-san (it has a few really really sad scenes although it's primary class is comedy)
Hanbun no Tsuki ga Noboru Sora
Toradora!
Kokoro Connect
just some I can think of at the top of my head