I always thought wallflower was depressing but funny. If you want sad try school days.
Code Guess is the first one that comes to mind. You have probably heard about ut, it's really good.
But if you like one-shots there is present (Boichi) and Camelot garden (Yuki Kaori).
Chrono Crusade is a good but sad one. Also Fairy Tail, it's funny but has sad parts in it.
^I'd have to agree that Chrono Crusade was really sad, also funny, and exciting too^^
Fullmetal Alchemist has plenty of sad parts, but it's fun too
Hotel is really depressing, it just is
Watashi-tachi no Shiawase na Jikan ("Our Happy Times") is just plain beautiful and terribly tragic
Clannad :( made me cry of laughter and saddness u must watch the after series too!!!!!!!