Since I am I HUGE Fairy Tail Fan one of the saddest deaths in anime has to be Igneels death.
Natsu was raised by Igneel since he was small teaching him how to right and use Dragon Slayer Magic. Igneel went inside Natsu's body to help him not turn into a dragon in the future. Natsu did not know that. He thought Igneel had left to do something else and never returned so Natsu would search high and low for Igneel no matter how dangerous it was. Igneel finally gets out of Natsu's body and helps the Fairy Tail Guild with their fight against Tartaros. Igneel and Natsu finally had a chance to be together again but Igneel lost his fight against Acnologia and tells Natsu everything about what had happened end and how he loved Natsu.
To me its one of the saddest deaths because Natsu had been waiting so long and searched so hard for Igneel only to see him die right in front of him and seeing Natsu cry is too much as well. @InVinsybll