Harry Potter is not a tragedy per se, but it certainly has its fair share of tear-jerking moments. (Well, they're not so much tear-jerking moments as they are JKR-reaching-through-the-pages-and-forcibly-ripping-water-from-your-tear-ducts moments.)
If you had to choose just one or two things: what is the saddest part of the series AND/OR the part that made you cry the most?
Unequivocally, mine is at the end of Deathly Hallows when Harry walks through the forest to his certain Death by Voldemort (TM). His thoughts; Lily, James, Sirius, and Lupin... all of it is so incredibly devastating.
For the runner up, I'm just going to go with one of the more obvious ones and say Dumbledore's death. After Harry Potter himself, Dumbledore has always been my second favorite character and the first time I read those terrible few sentences, I was beside myself with PAIN and SUFFERING (or at least intense sadness). :(
It just shows the reality of a war though doesn't it. There are no great death scenes, people just get killed and who have to carry on fighting. The fact that they didn't get death scenes make it all the more heartbreaking in my opinion.
The scene where Harry was walking in the forrest to face Voldemort for "the final time" was saddest for me also, it destroyed me. I cry nearly every time I read it.
Second for me ... was when Harry's wand broke. I just remember getting really upset,I had to put my book down (something I had to do a lot while reading the final book). I couldn't believe it, and his reaction to it just made me feel so much worse.
I totally agree with you about his wand breaking. Without his wand, Harry was so freaking vulnerable that I felt so incredibly antsy and legitimately anxious from the time that it happened until right after Malfoy's Manor. (I guess that was only three-ish chapters, but whatever...) I'm SO glad it was fixed at the end! I mean, the timing was a little off, but better late than never! xD