Sadness is anything but desirable, yet people will seek specific movies to harvest this emotion. It's a phenomenon that could be attributed to the stagnated emotions of first world citizens, whose comfortable but mundane lives are deficient in the emotions that give a poignant meaning to existence. Or it's a normal pursuit that unites all classes of people in the artificial evocation of feelings; the pure, primal emotion unconnected to personal suffering.
The following films are all great films, but also sad films—some of the saddest ever created. However, this does not mean they are manipulative tearjerkers that will have you sobbing from contrived plot points. Though you may certainly experience the same crushing effect as the former will dictate, these movies are more inclusively sad. The sadness is the conceptual makeup of the film, not just the reaction to the film. It's not contingent on your tears.