*sigh*
I dont cry for things that happen to a char, because that just helps with the chars developement/exp etc etc.
I generally tend to cry/tear up at the end of an anime I deem to be good in story or something I enjoyed watching from the begining to the bitter end, bitter inregards that well, its the end. There will be no more from that anime, its done, if you associated with that char in any way or experience you are now cut from it. Some of us have even gone to the point that we've put ourself in their place or vice versa coz we connect with said chars or w/e.
Imo its even harder not to become sadden at an ending from a good anime when they put epic ending music. Some animes I hated seeing end :
Trigun
Cowboybebop (awesome song ending)
Full Metal Alchemist
Robotech: Macross saga
08MS Team (short very short,but good gundam series)
Nadeisco (ending so felt like a cliffhanger) I think I cried for Gai, but who didnt?
Tenchi - I think its more of the WHO?! WHO will you pick tenchi!!?? its ryoko I know it o.o
A lot of the time that I get affected by anime is also just the music.