Just about any moment in Ruroni Kenshin.

To be more specific, the ending of Hotaru no Haka (grave of the fireflies). The ending is just so sad, not just because of the death, but the song really enhances the feeling.

And the part of FullMetal Alchemist where (SPOILER) Ed goes through the gate and ends un in London during WWI
And the ending of the series. I just like the way it's told (through a letter to Winry) and the song they play.