I've got alot of sad moments.
OoT:
When you defeat Ganondorf/Ganon and then your in the sky with Zelda. When she sends you back, it made me cry. Then when Navi left, I couldn't stop crying.
MM:
When Miaku died...
TWW:
When Aryll gets kidnapped. The look on Link's face nearly sent me into tears. And at the end where the King of Hyrule comminted 'suicide' ....oh man I was crying.
TP:
That one part. The one where Midna was so happy, where she thought she would be in her true form after all that time. I felt so sorry for her.
The mirror part....pretty sad. Link looked like he really wanted her to stay.