I think a better question would be which anime HASN'T made me cry. I am seriously a crybaby, and I get pulled so deeply into a show and its characters, the struggles they go through and their relationships with each other that I can't help but get dragged down with them.
Off the top of my head, though:
-Fullmetal Alchemist
-Fushigi Yuugi
-X TV
-Wolf's Rain in spite of my confusion... it was one of those "WHYYYYYYYYYYY???" cries
-Cowboy Bebop, and "Blue" never fails to make me get teary-eyed even today
-Naruto
-Ai no Kusabi (>.>)
-Trigun
-Escaflowne... why can't