I don't know if it really qualifies as "saddest," but Tara's death (aside from being a plot device, obviously) was certainly the most meaningless. Jenny was killed by Angelus because she was close to Giles, and would, therefore, upset Buffy. Fred was murdered by a fanatic who was obsessed with bringing Illyria back to life. Anya and Doyle died as what could be considered soldiers in the battle against evil. I've never really considered Cordy to be dead, just moved to a higher plane of existence, something like Elvis.
Tara died simply because she was standing in front of a window.
My favorite death, if that word could be used to describe any death, would have to be Anya's, simply because, up to that point, as a human, she was used almost exclusively as a comedic character. Going out the way she did was both surprising and heroic, and oddly right, considering her Scandinavian origin. She died like a true Viking warrior, in the heat of combat, sword in hand, surrounded by the corpses of her enemies. The heroes in Valhalla welcomed her with open arms and cheers of welcome.