There's probably already a thread like this. Which video game music & Anime do you consider the saddest?
Here's my list:

Game Music:

Song of Healing - Zelda: Majora's Mask
Last Hours - Zelda: Majora's Mask
Fi's Farewell - Zelda: Skyward Sword
Aerith's Theme - Final Fantasy VII
Event: Sadness - Sonic Adventure DX
Event: Goodbye - Sonic Adventure DX
Hyrule King's Farewell - Zelda: Wind Waker
Kaguya's Journey - Okami
Time of Parting - Okami
AZ - Pok�mon X and Y
Freezeezy Peak: Igloo (Sad Version) - Banjo Kazooie
Midna in Distress - Zelda: Twilight Princess
Sad Sun - Paper Mario
Zelda's Sacrifice - Zelda: Twilight Princess
Missing You - Kingdom Hearts II
Always On My Mind - Kingdom Hearts
Roxas' Theme - Kingdom Hearts II

Anime Music:

Tears After The Cloudy Weather - Pok�mon Anime
Serenade of Resurrection - Sailor Moon R Movie
Tears of Life - Pok�mon: The First Movie (English Dub)
Luna - Sailor Moon S Movie
Sad Serena - Sailor Moon (DiC Music)
Sad Memories Of Father - Ginga Nagareboshi Gin
Gravity by Maaya Sakamoto - Wolf's Rain

Piece of Mind by Nobuo Uematsu from the FFXIV version 1.0 soundtrack. The track that played when a player chose their Path Companion, it was remarkably melancholy for a part of the game that was meant to be joyous. But that is doing it an injustice, as it's an awesome piece of music. Even now it brings me to tears. sadly though it hasn't (yet) reappeared in A Realm Reborn (although I'm hopeful). So good. :)

From the same soundtrack, the former La Noscea theme On Windy Meadows, also by Nobuo Uematsu (in ARR it now plays during the opening scene for a player starting in Limsa Lominsa, and also later in the game during the 'moogle post' quests introduced in the 2.3 patch - it's also remixed by Masayoshi Soken in a more upbeat way as the new town theme for Aleport - now titled Salt Swept. But the original is still the best (and still very sad). :)