Here's my collection of deaths that gave me those sad feels. Thanks to @RosePark for tagging me! SPOILER ALERT!
Hare Menjou from Guilty Crown Her death was both shocking and completely unexpected. What I was expecting was for her and Shu to develop a deep romance. She was such a sweet and emotional character and it was hard watching her sacrifice her life to save Shu.
Usamaro from the Blue Exorcist movie It's funny because I knew that he was going to die but I still felt extremely sad when the moment came. It was bad what he was doing by erasing memories but I understood why he did it. All he wanted was to make everyone happy.
Tetsuo from Akira I was more disappointed than sad, to be honest. LOL. I wanted him to wreak total destruction on Earth before losing control of his power. Still though... those flashbacks when Kaneda got pulled inside him. Very, very sad.