I get snot-misty reading the Velveteen Rabbit as well as the Ugly Duckling to my kids, so I don't read them anymore. Actually, a lot of those traditional fairy tales, like Hansel and Gretel (child abandonment and homocide), the Pied Piper of Hamlin (town's children all die) and The 3 Pigs (pigs getting slaughtered) are really harsh and sad.
Another children's book that gets me every time is Love You Forever. I can't even look at the cover of that thing.