I can't recall specific episodes (or manga chapters) in terms of numbers and stuff, but I remember the moments that were saddest to me overall.
The saddest moment for me was Greed's death (the original Greed, I mean, not the first anime adaptation).
Is Maes Hughes not going to be brought up? The man was amazing, his death choked me up.
EDIT: Sorry, episode 25.
Episode 25 in the 2003 anime, episode 10 in Brotherhood. Both hard to watch, especially when Ed, Al, and Winry are on the train talking about thanking Hughes when they next see him, and then we're slotted straight to the funeral, with Elicia not understanding and wanting her daddy to get up.