Not necessarily sad, but they send shivers right through me:
Die Unstillbare Gier from Tanz der Vampire, at the end, where he predicts total destruction... It's the most scariest sensation, then he holds an angelic note that doesn't even exist
The helicopter and reprisal of Sun and Moon in Kim's Nightmare from Miss Saigon. That has me blubbering
Norma's mad sequence at the end of Sunset Boulevard
You'll Never Walk Alone, when the chorus builds
The Confrontation with the Faerie Queen and Iolanthe in Iolanthe, and the faeries are chanting "willahala, willaloo..." in the background. It's really creepy and sad. Also, Iolanthe's last aria
Memory, the end when it explodes. If you want to know what it feels like to be a volcano, try this song. Seriously
Who can explain it, who can tell you why?
Fools give you reasons, wise men never try
-South Pacific