I only buy what I can watch more than once, so with that in mind, here's the list:
These are some anime series and film's that I really enjoyed and often had a good cry over :'( . However they are not completly depressing and have great characters, one I really recomend is Tokyo Magnitude 8.0!
Also I included Naruto and Naruto...
Not in order
1-8 are Tearjerkers; slight romance
9+ are more focused on romance