Well, anytime any of the ponies cried was pretty sad. Especially Fluttershy because I just feel so bad for her, and Rainbow Dash because she's tough and doesn't cry that often. Someone like that only cries when things get really bad and or emotional.
Two really sad parts were when Twilight turned grey and her tear splashed into the shape of a broken heart, and when she cried because she thought she had lost her brother as a friend by yelling at Cadence.
However, to me the saddest part of all was when Pinkie said "my friends don't like my parties and they don't want to be my friends anymore", in that sad, sweet voice as her hair deflated and she just looked so forlorn. To me that was the saddest part. Because, Pinkie is normally so happy and fun loving. Her smile song just mad me smile so big, and it still does every time I hear it. It's one of my favorite mlp songs. To see her so depressed and lonely like that when she seems like the most dependent on her friends for her happiness, was heartbreaking to say the least. It struck home for me because I can relate to how she felt.
Also, Fluttershy and Pinkie are the two sweetest ponies, so seeing them sad makes me feel so sorry for them because they are so amazing that they deserve to be happy. In fact all of the mane 6 are so amazing they deserve to be happy. Which is why it's so sad every time they cry.
Don't think I'm actually sensitive or anything like that though. After all I'm a guy, I never cry.
well in the "return of harmony" when twilight gives up with her friends and becomes grey and the tear that turns into a broken heart andn;;o;;
also in "hurricane fluttershy" when rainbow goes "you're not gonna quit just because of that" and then fluts turns with tears and cries whimpering "yes!!!" woW I THINK I NEED A MOMENT