Honestly, i've never cried watching anime, but some have gotten me pretty close...
Gundam 0080, when [spoiler]Bernie dies and Chris asks that when he drops by again, that he come see her and Al starts crying at the end.[/spoiler]
In Gundam SEED when [spoiler] Mu, Nicol, Tolleand the M1 pilots die, from the manga[/spoiler]
In Trigun when [spoiler]Wolfwood dies[/spoiler]
In Vandread when [spoiler] Hibik finally tells Dita her name and confesses his feelings for her[/spoiler]
In Gundam Wing EW when [spoiler]Heero says, "I will never hurt anyone ever again, because I don't have to anymore.."[/spoiler]
In Char's Counter Attack when at the end, [spoiler]when you realized that pretty much every main character has died[/spoiler]