This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Vanilla Sky
Early on, when David is trying to ditch Juliana.
I think she is the saddest girl ever to hold a martini.
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.
Tech Support: You were missed, 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.
McCabe: I'm real. I'm...I'm...mortality as home entertainment? This cannot be the future! Can it? Can it?!
Arguably even worse in Open Your Eyes. Antonio (McCabe's counterpart) is reduced to a weeping wreck by the same revelation. Cesar (David's counterpart) seems sympathetic, but "Tech Support" callously tells him to pay him no mind. He's not a real person, after all.
An alternate ending for Vanilla Sky (more in line with the original film) is perhaps even more heart wrenching. McCabe ultimately does not accept the revelation, begging and pleading with David not to listen to "Tech Support" even as he says goodbye to Sophia. At one point McCabe says "We can defend the kingdom together", a clear reference to David's late estranged father, and perhaps an offer to become the father figure David wished he had in life (and his intended role in the lucid dream according to Ventura). Are his words out of genuine love for David, or an act of self-preservation? Either way, it's hard not to feel for him when he screams at David not to jump just seconds before he leaps from the rooftop.