The DC animated finales have been amazing:
-Superman (and his big battle with Darkseid)
-Justice League (technically, two finales, the big 4-part Cadmus one since they thought that WAS the finale, and then another awesome Superman/Darkseid battle for the actual finale)
Totally agree on Pan's Labyrinth (I'm on the side of the fence that believes it was all in her head the whole time) and Shawshank.
What Dreams May Come always has me bawling, but I tend to bawl through the whole movie.
The ending to a graphic novel, Pride of Bagdhad, left me in tears even every time I flipped through it.
Batman Beyond: Return of the Joker (pretty much the whole final fight and everything after).
Wonder Woman (the animated movie). Rarely have I thrown my arms up in the air and shouted "That was totally wicked!" when the credits start rolling.
The ending to Preacher always tugs at my heart strings.