2 Films off the top of my head:
The Champ
Terms of Endearment
TOTAL tearjerkers. Great thread topic!
I also agree with Dumbo, ET and Old Yeller. And here's another, an old one: The Yearling. Beautiful and sad old film.
And I have to say that I cried 3 times when I saw Last Crusade: 1.) when Indy's dad got shot 2.) When Henry called Indy "Indiana" for the first time and 3.) at the end of the film because I knew (at the time) that there weren't going to be any more Indy films. It was the end of a legacy. I'll probably cry at the end of KOTCS for the same reason.