Nana can indeed be very sad at times, but can also bring you a smile. It's simply a must-watch.
As for my recommendations, you should read the manga xxxHolic (do no watch the anime, it's an abomination). I rated the anime 5 and the Manga 10, the manga is simply superb.
+1 AnoHana
If you don't mind a lot of fighting, Darker than Black is pretty sad over-all.
Also, Stein's Gate (if you haven't seen this you really should, some episodes are the most tear-jerking things i've ever seen, though the first few episodes are really light-hearted).
Mawaru Penguindrum
Madoka Magika?