I cry very frequently during movies but these are the ones which came to my mind immediately
Titanic - i also didn't know that Jack was gonna die. what a bummer!
Moulin Rouge - 1st movie that made me positively sob
Devdas
Harry Potter and the Goblet of Fire - surprisingly i didn't cry when cedric died, i cried when harry was duelling with voldermort and the 'spirit' or whatever-you-call-it of his parents came out.
Schlinder's List and a lot of WWII & Holocaust movies/documentaries
Strangely, I didn't cry in many of those tragic romantic movies which i was warned beforehand that its bloody sad eg. Notebook (what a bore!), A Walk to Remember, Message in a Bottle... see how all of them are by nicholas spark?