WHat do you reckon was the saddest part of the legendarium?
 

"There at last when the mallorn leaves were falling, but spring had not yet come, she laid herself to rest upon Cerin Amroth; and there is her green grave, until the world is changed, and all the days of her life are utterly forgotten by men that come after, and elanor and niphredil bloom no more east of the Sea.”

I find it very sad the fact that Arwen was completely forgotten afterwards, almost like she didn't exist at all. Shows the pains of mortality etc. Pretty depressing for me anyway.

Smeagol on the verge of repentance, and Sam protective of his master calls him a sneak, pushing him back into being Gollum. The description of Smeagol just before this moment moves one to pity and hope, only to have it immediately dashed by the lovable but dense Sam. Ah me.

Frodo tricking Smeagol into being captured by Faramir's men by the pool. Nobody's fault, it had to be done. But it showed that Smeagol, in a tiny corner of his mind, still could feel trust and in his own way, love.

When he knew he was captured, that trust was betrayed. Everytime I read that part, I get a little teary.

The children of Hurin, in its wholeness.
When Beleg gets killed by Turin, when nienor commits suicide, when Hurin is set free and finds morwen. It all.

Simple, bleak, and all-encapsulating.

Yes. Another part that always gets me is when the broken Hurin goes to seek Gondolin, the city he marvelled at in his youth, then full of hope and dreams, only to find the sheer walls of Crissaegrim silent and the old escape-road blocked. He hopes to once again mark the eagles far above, but only sees dark clouds drifting in from the east. :(

Close behind Sam's botching Gollum's repentence:

Although that's more bittersweet.