Final five, guys. Almost done!
So the saddest anime "death" to me has to be when Asuna sacrificed herself to save Kirito and disappeared in his arms. Now this is before I knew she didn't actually die. I thought it was the saddest thing ever. Her death. His reaction. I was yelling at the TV that she couldn't die. They've been through far too much together for her to die that way.
In addition, to the sad moments of this series was when they lost Yui and Asuna was in tears. That was sad like a mother losing a child, luckily she was saved as a gem, and then later revived with the events in ALO.