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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. The use of Todd Rundgren's "Can We Still Be Friends?" is quite fitting.
McCabe's impassioned defense of his existence as a real person outside David's virtual world even when the evidence clearly proves him wrong. Particularly devastating when he calmly accepts his fate and says goodbye to David.