I got one but haven't updated that since forever. Just now added some stuff I'm watching from this season.
http://myanimelist.net/animelist/Saudades
Dunno about Kanon...the character designs from the screenshots I saw here kinda soured me. Saw Clannad years ago and I remember ep 18 of AS kinda got me, but still hated the ending.
I'm gonna go and recommend Penguindrum. The story revolves around two brothers and their sick sister along with the troubles they're forced to go through. The ending is rather tragic.
You should still give Kanon a shot, just make sure its the 2006 version. Some people don't like the eyes, but the animation and backgrounds are still really pretty. And the music is great. Its Key, so its definitely sad if that's what you're looking for.
The first season of Little Busters is rather tough to get through, but the second season, Refrain, was well executed and is definitely one of Key's best stories. Alternatively I'd recommend reading the VN if you don't mind reading, as its a much better telling of the story.