Depending on the story. My emotions get involved when watching anime with amazing plots.
When Alphonse woke up after meeting Ed for the first time since he was transported to WWII Germany (in 'FMA: Conquerer of Shamballa') with that face that looked like he was gonna break in to tears; I found myself making the same face. LOL. It was very touching.
Every time I read/watched 'Death Note' and found out that the plot was twisting the way I expected it, I was either very happy or very upset. Although that series made it pretty easy to make predictions. I don't think that any other series has grasped my attention emotionally like 'Fullmetal Alchemist'.