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Tear Jerker: Vanilla Sky
A pretty good chunk of the second half of the movie, but especially David discovering the vast majority of his romance with Sophia never happened, he died alone and depressed.
Another, related, tearjerker of a slightly different kind is his discovery that despite all of the above, Sophia always remembered him fondly, and pretty much WAS in love with him despite only really seeing him three times in her entire life. Also, Brian's funeral for David.
Sophia's death scene.
McCabe's impassioned and completely devastated insistence that "I'm real."