Yeah, Terms of Endearment was one that sprung to my mind too.
I found "Click", which is more of a comedy although with an underlying moral story, a little sad in parts - particularly the wedding and his death at the end.
The endings of "Sixth Sense" and "Shawshank Redemption" were kind of sad in a different sort of way. The sadness of emptiness more than anything.
You are so right about Click and Shawshank Redemption. Both great stories, but it would be too hard to watch them again, for me.