I thought Saikano was so sad. The art sucked major, but in terms of storyline, it was so depressing. But it wasn't like a surprise sad ending, things just went worse, and worse...
I also thought AIR was sad too. It's one of the saddest animes ever, and I never really understood it. Also, Full Moon wo Sagashite was sad too. Especially the ending. I nearly cried.
I'm a sucker for angst animes, so yeah, I love sad endings, except I usually expect them, rather than being surprised by them.