Even though it goes without saying please don't tell why it's sad. Grave of the Fireflies is a prime example. Saying the why would ruin it for those who haven't seen it.
"Chicken with Plums" is in my top 5 favorite movies ever... Very beautiful, very sad. French movie made by French/Iranian, the same people who made "Persepolis", but it's live action and very whimsical like "Amelie". Couldn't recommend it more.
i love these two, but they are quite tragic. While these may not be movies they are a great anime to watch, the episode count isn't long as like naruto.