It isn't a movie, but there's this TV show called Cold Case. It's on CBS at 9 (I think) on Sundays. Some of the episodes are the most depressing things you'll see. The premise is that these Philly detectives somehow get some clue that'll help solve a murder case that was considered cold. They go back, interviewing all the people who knew/were affected by the death of the person. You get flashbacks from the people's memories (there's usually an older/younger version of each character.) It's very interesting. I usually don't cry at TV shows, but this one almost always gets me. At the end, when the case has been solved, they show the people affected in different places, and the victim either looking at one of the detectives or someone they loved.
I think the saddest one I saw was this woman who awakens from a coma after she and her daughter (the daughter died) were found on the street, having fallen out of a window. She was afraid of her daughter getting taken away by Children Services, because the man was a child molester. I forget why she was in danger of that, but I think it was because she was poor and maybe a drug addict. It turned out that she threw herself from the window with her daughter the night she thought the man was going to take the kid away. The man wasn't visiting her, though, but some friend of hers bringing leftover food from the pizza parlor where he worked
. It was so sad when the woman realized what had happened.