Not a video but a movie. One New Years Eve we went with friends to watch "Cry Freedom", the Steve Biko story, before going out to party. The movie was so powerful, and the sense of horror at what had happened in South Africa under Apartheid was so great, that we just went home and went to bed.
The commercial that comes on TV about animal abuse .... I always change the channel, otherwise ile end up broke..
A sad movie is Awakenings, with Robin Williams.