The first time Buffy the Vampire Slayer made me cry was in season four. It was Willow and Oz's last scene together. "I was waiting. I feel like some part of me will always be waiting for you." I had shipped them, and still shipped them, but was amazed at how well the writers ended their relationship - that I could ship them so much, and yet have no doubts Willow made the right choice in staying with Tara.
The first three seasons of Buffy had left me dry-eyed, but heavy tears were to come. No Place Like Home still makes me cry ("She's not my sister." "She doesn't know that."), and I sure The Body and Forever always will. I don't think I cried again until the S6 finale, but Willow and Xander's scene in Grave makes me cry when I read the transcripts. Spike and Buffy's last scene in Chosen manages the miracle of making me cry and laugh all at the same time. Even though I'm bawling, I still crack up when Spike tells Buffy she doesn't love him. I have a warped sense of humor, I guess.
I don't think The Lord of the Rings books ever made me cry, but the end of the movie trilogy does. Frodo's inability to return home, and his goodbye to Merry, Pippin, and Sam.
I know I cried when Tosh and Owen died in Torchwood ("Because you're breaking my heart!"). I cried even harder at the end of Children of Earth. I remember when I first watched it, I didn't actually cry until the "Six months later" appeared on the screen. It was then I realized Ianto really was dead. This is an odd thing to say, because Ianto never was my favorite, and I think his fans were already started to get on my nerves. Indeed, I'd been hoping at that point that he would die and Steven would live, as if narratively Ianto's death was required for Steven's survival. But I really thought he wasn't going to die. I really thought, after watching Day Four, that Ianto's death was some kind of fake out. I really did. And I lost it when I realized he was actually dead. I may not have been as deeply attached to Ianto as some fans, but he had represented the people who said that earth would not allow one child to be sacrificed. And he died. He failed, and Steven was sacrificed to save millions.
Supernatural's an odd one, because it never made me cry. Once, a rewatch of Bad Boys made me tear up. Sam thanking Dean and Dean dismissing it. It's odd, because I have some serious problems with the characterization in Bad Boys, specifically John and Dean in the flashbacks. But Sam is just perfect.
I'm not entirely sure when SPN doesn't make me cry much. There's plenty of emotionally intense scenes that really do it for me. I think part of it is that I never feel like Sam and Dean are ever in any real danger. Not only physically, but it terms of their relationship. Yeah, they have intense ups and downs, but with Willow and Oz, with Buffy and Dawn, with Willow and Xander, with Buffy and Spike...there always seems like a real possibility that the relationship might disintegrate. And in fact, with the Oz/Willow scene and the Buffy/Spike scene, that's the last time these characters see each other. By contrast, we know Sam and Dean will always be Brothers Forever no matter what happens.
In Torchwood, all the characters are in real, physical danger, with the exception of Jack - which is, of course, a plot point. When Owen, Tosh, and Ianto died, it was characters we cared about deeply and they died as part of their own stories as well as to give the survivors angst. With Jessica, Ellen, Jo, Rufus, Kevin, Charlie, and many others it didn't feel that way at all. It felt like the writers just wanted to slaughter less important characters to give the illusion of upping the stakes. Even Bobby was the older mentor figure, and John the older father figure. And the SPN writers keep going back to that same well, as if killing side character #465456 will make us take death that much more seriously.
You know what else makes me bawl? The last two songs in the Hamilton musical. Wow. Especially Angelica's line, that starts out sounding almost like a whiny fanbrat complaining about the lack of attention paid to her fav ("Every other founding father's story gets told"), and then with the same note of irrational jealousy turns absolutely heartbreaking ("Every other founding father gets to grow old") - with the pettiness of the first line emphasizing the heartbreak in the second.