I never felt "Twelves Monkeys" was a said movie.
FF is right on though, "Life Is Beautiful" is by far the saddest movie I have ever seen. As it was ending I turned to my wife with watery eyes and asked her why the hell we just watched that. Pretty sure that is the only time I teared up during a movie.
Anytime a magazine comes up with a list of the "top" or the "most" or the "-ests" of all time, it is pure BS, because you can't really pin down that sort of thing. I felt "Life is Beatiful" was sad, but I have no doubt others have sad though it without any emotional response whatsoever. Even though some films have a tendancy to evoke the emotional response of saddness in the majority of people who watch it, doesn't really allow for the hyperbolic " of all time, I highly doubt the people who choose those movies have seen a terribly large amount of movies based on their choices. To do an honest "of all time" list, you'd have to have all your judges be people who have seen every sad movie ever made.
On a side note, I didn't find Titanic in the least bit sad, when Leo froze and was sinking in the water I was cracking up, then the old woman drop the thing in the water all dramtic like and my laughter just kept rolling. It was some of the lamest, over dramtic, predictable shit I had ever seen.