I have yet to meet a game or movie that will really strike me as "sad". I can't really pick anything that's the "most" either, everything I've seen or played just resides approximately at the same level
Like Alen said, nothing really resonates as being really sad, but I will say the end of HL:EP2 was pretty moving. Not enough to bring a tear or anything, but I did actually feel sad. The ending to Kingdom Hearts 1 comes on my list as well. The death of Agro is another one too, one I didn't even see coming. If you don't know who Agro is, I will tell you that he is a horse.
Sad movies can smd, horror/action is where its at.