Well, all of the Legend of Galactic Heroes endings are sad in a way, especially the third ending. I would link to it, but it's not on youtube. The third ending has a beautiful song while Julian looks through photographs of friends in happier times. Painful to watch by the end of the third season.
edit: ah hah! found someone who uploaded all the endings in one big file:
https://www.youtube.com/watch?v=NeTKZNVRyHM
Specifically, here's the third ending:
https://www.youtube.com/watch?v=NeTKZNVRyHM#t=03m03s
Wistful is easier than truly sad I think, but some can be considered sad I guess. Akachan to Boku's first ending is pretty sad and sweet.
http://www.youtube.com/watch?v=NOvSvxqRfJA
Ayatsuri Sakon's ending I would call wistful:
http://www.youtube.com/watch?v=L_MsqulrNCo
Ending of Ginga Sengoku Gunyuuden Rai
https://www.youtube.com/watch?v=FqrZuJJE88U
Metropolis There'll Never Be Goodbye:
https://www.youtube.com/watch?v=CBiW2MZTbfY
Forever Love from X the Movie
https://www.youtube.com/watch?v=KzvwkdGlk28
Not a fan of Technolyze, but the end credits song always felt pretty sad to me
https://www.youtube.com/watch?v=NMM_25fgBJA
Windaria's Beautiful Planet is wistful imho
https://www.youtube.com/watch?v=_ykcd-vZfQM
And Voices from Macross Plus
https://www.youtube.com/watch?v=tud4JUiPDRk
edit: just thought of another good one. Nyaasu no Uta from Pokemon
https://www.youtube.com/watch?v=hOWj9ESpA2U
Also maybe Kaze to Isshoni (ending of the Japanese version of first Pokemon movie), not entirely sad, but I think qualifies as wistful
https://www.youtube.com/watch?v=Y1JLTqKJHcI
Oh, and the most cheerful Maison Ikkoku opening ever:
http://www.youtube.com/watch?v=XKtZ6WuqJ8U
You could probably also include some of the other Maison Ikkoku endings like Ashita Hareruka and Fantasy.
gah, I'm depressing myself. No more looking for sad anime stuff for today.

Hector the Collector loved these things with all his soul,
Loved them more than shining diamonds, loved them more than glistenin' gold.
Hector called to all the people,"Come and share my treasure trunk!"
And all the silly sightless people came and looked...and called it junk.