I remember first reading Harry Potter and the Sorcerer's Stone in 3rd grade. I remember listening to the audiotape of Harry Potter and the Chamber of Secrets on my 5th grade family road trip to the Grand Canyon. I remember screaming like a baby when a coincidentally timed blackout zapped all power from the house while my friend and I were watching the scene in Harry Potter and the Prisoner of Azkaban where Harry follows the kidnapped Ron into the Shrieking Shack.
Harry Potter has been part of my childhood. And when the 7th book rolled around, it wasn't just the deaths of precious, beloved characters that made me cry. It was the fact that this series--and even if you hate HP, you can't deny that the boy wizard will be a lasting figure in literature for years to come--was coming to an end. Of course, I cried when Harry realized how many of his friends had died in the battle at Hogwarts. But I also cried at the epilogue (yeah...I have my own opinions about that part of the book) because the saga had ended, and I would no longer relish the one-two year wait for the next midnight release.
Same thing happened with the movie. I balled my eyes out in the movie theater when I watched the second part of the last movie. 1) The musical score was genius. It had the right amount of poignancy that pulled at each emotion as it should have. 2) I cried because of the nostalgia.
The Harry Potter series definitely has its tragic moments, but the main reason I'm listing this specific book as a "sad book" is because of the finality it carries for all my precious memories growing up alongside Harry Potter.