It's hard to say because there are different kinds of sad.
Sophie's Choice, with Meryl Streep, was troublingly sad. It introduced a dilemma that was so troubling that I think it has literally scarred me for life, a dilemma that was no-win and so purely horrific that whatever she chose or if she chose not to choose, she would be destroyed with regret and heartbreak for the rest of her life, and then that's what it delivered, a portrayal of a never-ending stream of dire hopelessness and misery.
Out of Africa, another Meryl Streep movie, made me so sad that it took me about three days after seeing it to shake off the sadness. It left me totally bummed out, even beyond bummed out. My reaction to literally everything for those days was all, "What's the point?"
Stepmom, with Susan Sarandon and Julia Roberts, had the longest unrelenting stream of sadness. Most movies slam you with sadness and then let off of it, introducing some comic relief or even just some non-sad parts. Stepmom, though, I remember bawling in the theater, but it kept going and going. I remember sitting there and realizing that it had been a full-on 20 minutes of totally heart-crushing sadness. It just kept keeps pouring it on and pouring it on with an extremely rare unrelentingtingness.
Those three are all saddest in my book because they're different kinds of sad. Honorable mentions should go to Beaches, Terms of Endearment, and Brian's Song. Also, I've always found Stand by Me to be extraordinarily sad because of how it ended, but it became over-the-top sad when River Phoenix actually died young in real life in a way that was equally senseless.