Aww, c'mon! Don't be ashamed to admit it. I'm a man of thirty-some years old and I do.
It seems that the shows of the fourth season had the most depressing subject matter. Or maybe that was when I was sixteen years old and unusually sensitive for that age.
I have a handful of episodes of the show that have made a tissue or two necessary. The first one that comes to mind was "I Was A Middle-Age Werewolf". Six-year old Alan goes trick-or-treating with his older sister, about twelve years of age and her friend, who is the same age. They play a trick on Alan, which leads him to become separated from the two. When his parents find out, his dad, who's the macho man type, goes looking for him, vowing that he's going to let Alan have it when he finds him. Well, they aren't able to find him and the police are called. Soon after, Alan returns home and when he's tearfully apologizing to his dad, his father turns around and walks over to him, looking like he's going to light into him. Instead, he picks him up and begins to cry. That was totally unexpected, because he had previously said that only sissies cry. It was just so heartwarming that I couldn't help but break down myself.
Two episodes later, we find the twin brother of the boy who played Alan playing the part of a little boy who's father died unexpectedly. His mother is so beside herself due to the death of her husband that she doesn't realize that her son needs to grieve too. He deals with it through his superhero doll, Amazing Man until Jonathan help his mother to realize Stevie's needs. The cemetery scene, when he puts his head on his father's grave and cries, as well as when he's telling Amazing Man, who briefly came to life (through Jonathan) about what happened at the cemetery, was what made me have to reach for the kleenex box.
I have a few others, which I'll add later on.