SPOILERS, of course! :)
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). :(