[Kitanna]

I always found Theoden's death to be a truly sad part. But never to the point of tears on my part.
However when Sam believes Frodo is dead, well that is just powerful literature. Sam is so broken up and in the course of the books we come to know and love Sam and feel his pain at this.
And of course the Grey Havens. It's the end of the novel, it's the end of Gandalf, Bilbo, and Frodo's life in Middle-Earth. And finally Sam must say good-bye to Frodo. So sad.