It didn't make me cry, but ASoIaF's Red Wedding...
It seems lame to say now, but when I read The Lord of the Rings as a 12 or 13 year-old Gandalf's 'death' was pretty rough. I remember thinking in my head 'damn, what a badass', as he stood on the bridge and roared at the Balrog. Even now I can remember some of what he said 'I am a servant of the secret fire, wielder of the flame of Arnor. Go back to the shadow, flame of Udun!' Etc. My reveling in that bit of (nerd) awesome followed immediately by his fall was tough to take. Frodo's poem in Lothlorien made it all the more poignant: 'He stood upon the bridge alone // fire and shadow both defied // his staff was broken on the stone // in Khazad-dum his wisdom died'. My memory's not that great, but I remember that shit.