Red Dog. It's an Aussie film that came out a couple of years ago, and it just about killed me, that was how sad it was. If you want something that'll make you cry, that should do it.
As for books, I'd definitely say The Book Thief (which someone else has already mentioned), as well as See You at Harry's by Jo Knowles (I was on the verge of tears for pretty much half the book) and The First Third by Will Kostakis (don't think I've spelt his name right, but it's along those lines).
