The saddest moment for me would be episode 50, especially when Gai starts crying over Lee. In other news, didn't Darkrai make the same thread last week.
Lee training and Gai telling his story.
Naruto losing his parents.
Naruto's talk to Kushina.
Sasuke and Itachi farewell (can't wait to see that in the anime).
Hiruzen funeral.
Jiraiya dying. Worst was Naruto's reaction. I felt so sorry for him.
Neji's background story (first time I totally cried watching Naruto).