I used to love to watch "dark & depressing" anime, however i don't think there are too many out there that made me cry 4 real. These are not "dark" but... Here's some that i did cry to;

Anohana: The Flower We Saw That Day
Grave of the Fireflies
SaiKano
Clannad: After story (Or anything from Key)

some darker ones;
Texhnolyze is dull and depressing.
Ergo Proxy
Haibane Renmei

I usally find Visuels novels to hit harder than anything else.

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