Armeggedon
PS I Love You
Pearl Harbor
I cry at PS I love you as well. Same with The Notebook and The Lover.
I know this doesn't fit, because it's not really a depressing movie...but the 2000 remake of Return To Me with David Duchovny and Minnie Driver leaves me bawling every single time I watch it. I LOVE that movie!
For just plain depressing try The Break Up or Revolutionary Road. Both of those just suck the soul right out of me. Two hours worth of seeing a couple bicker and fight and grow to hate eachother? Yeah. Fun.
And one more: I'm a sucker for Out of Africa. I cry at the end of that every single time.