I was really sad about the ending for A Dance with Dragons. Also, the ending of Test of the Twins. 

The outlander book series has made me cry a few times. I don't want to spoil it for anyone, though. XD

“He fell in October 1918, on a day that was so quiet and still on the whole front that the army report confined itself to the single sentence: All quiet on the Western Front.”

 

gets me everytime

Spock's death broke me up pretty bad when I was young, but that's a movie, not a book.

Egwene's death still breaks my heart every time I read the books. That girl was fierce, had the heart of an Aiel, and was, at the end, the Flame of Tar Valon. It was brilliantly written and cemented the sacrifice of the Last Battle in a way that maybe nothing else could've but I still always find myself hoping that maybe this time she'll survive.