When Ezlo gave Link the cap in TMC, and then left forever.
TP ending for sure. Bout had to shed a few right there...
I hope Midna never returns... Ever... Good thing I doubt she ever will. =)
But really. I don't have a saddest scene in Zelda. I always think of Zelda as a game that's fun to play, never really gave 2 cents about the story. Metal Gear Solid's is far superior.
Metal Gear doesn't have any really sad scenes, though. I think it has very frustrating scenes or awesome scenes, but I wasn't saddened by it.
Granted, Tingle's first appearance was the saddest scene, it would haunt the series for generations.