Christ, i know this is a Naruto forum, but some of you should seriously watch some more anime, i mean, sure jiraiya's death was quite upsetting, though personally i found the saddest point was when naruto found out, the way it hits him, hits you, but anyway, the saddest death i've seen in anime is from Ga Rei -Zero-, when Yomi dies, and the reason leading to her death, which i'll describe in brief because i doubt many of you have seen it:
basically Yomi was adopted into the head family, she was soon to take over as the family head, but her jealous cousin, Mei, under the influence of an evil force, killed Yomi's adoptive father, causing Yomi to be severed from the family, Yomi then manages to track down her foster fathers killer, and takes revenge on Mei, however after doing so, the antagonist of the series appears and fires loads of icicle things at Yomi, severely injuring her, and leaving her mute, she is later found, and taken to hospital, unable to explain the situation she finds herself accused of murdering not only mei, but her foster father as well, her best friend and her husband to be, both turn their backs on her, she has now lost everything, the antagonist visits her in hospital at night, and she falls foul to his manipulation, and end up under an evil influence like Mei, she then goes on a killing rampage, and is eventually killed by her best friend.
It's pretty heartbreaking