My OoT sad scene -
The whole ending. Link does all that work and Zelda tells him she wants to reverse time and make everything like it never happened. Sure, the evil never happening is a good thing, but it also erases Link and all he's done from everyone's memories. (Now that I think about it, it almost reminds me of the ending of Serial Experiments Lain in a way - and both series have a "Navi!" ) Speaking of Navi, as well, she up and leaves him... the kid's been waiting his whole life to have a fairy companion and after the adventure is over, he doesn't get to keep her.
MM sad scenes -
Kafei and Anju, finally together, awaiting immenent doom from the falling moon. They tell you to leave and save yourself, but they're going to face the dawn together.
The scene I vaguely remember involving the end of the Mikau-quest... At the end, you see a vision of Mikau entering his personal heaven, playing with his band one last time...
(Now, both of these, for me, are bittersweet because they actually have some goodness to them. Kafei and Anju got to be together again, and Mikau found his peace, so while heart-getting, they aren't entirely sad for me).
TP sad scene -
The one eveyone said... the end, where Midna breaks the mirror for the sake of protecting her people - never to see her friends (and possible love)? again.