I cried alot during Deathly Hallows, too - Dobby and the Forest scene of course. I was actually on a cruise out of Copenhagen last summer when it came out. It had been released at midnight the night before our ship left port (so much fun going to the release party in Copenhagen with my kids) and on board, there were a bunch of adults carrying the book around deck, and we'd all keep asking, how far are you, and then run away before we let something slip.
It was an excursion-packed trip, so I read most of it late at night, sitting in the tiny cabin bathroom.
What about scary books? I remember reading Stephen King's IT when I was about 17. I was babysitting, and it scared me so badly that I had to put it down, and I had to finish it during the daytime. And I still think clowns are scary because of that book.