For me, the saddest death has to be Kenshin's death in the Seisohen OVA. :( I cried buckets everytime I watched that. It was like he lived only to protect the ones he loved and to repent for his sins. In the end, he died with the cross scar faded away from his face. And you can see how happy Kaoru is for him. :'( !!!
*Saddest death, not saddest ending, thank you. :]