I know there are many depressing movies like House of Sand and Fog, Requiem for Dream, Turtles can fly, I've Loved You So Long, Boy A though they didnt really have that strong effect personally on me, I felt quite sad after watching, but Lilya tops them, other heartbreaking movies I can think of would be I guess Three Colors: Blue, Ordinary People, My Brother Tom, sort of also The Fountain works (I guess you can see some trend here with the D word :-)). Other movie I can think of which really moved me to the extreme, but in different way (more like raised my adrenaline level to max from anger) was Jagten, was extremely angry during watching.

(repost from Lilya 4-ever individual forum for higher visibility)