O_O tell me more, what makes you want to cry in Futurama?
I thought we were just sharing here, not discussing who has what and how... but never mind.
As for Futurama, I'll highlight two episodes: the one about Fry's brother and the one about his dog. There are also good ones with a love story, a plot around Fry and Leela, although they are less sad (the very best one is about black holes), the rest are just romantic.
And in ВК, ПХ, and МВТ... the line about friendship, specifically the loss of a friend, is touching. In ВК, when Frodo leaves them and the moment when they are lying on the cliff. It's obvious in MVT and ПХ.