as far back as I can remember, I don't thing I have fully "cried" during any movies. However, there have been a few where I would have if i wasn't holding back the tears.
Band of Brothers ... Concentration camp scene, when easy company was forced to lock them back up for a while. That is probaly the most horrible scene I have ever seen. People that have gone through worse than the toughest hell immaginable, finally being "saved", then being forced back into their hell (even though it was for their own good and only short term.)
Other mentions are Schindlers List, Requiem for a Dream, Braveheart, Million Dollar Baby, Gattaca &, Shawshank Redemption.