The story I am currently working on deals a lot with death, the main character is given a second chance at living his life, but at the same time he's also given a count down to his death. Along with that he is informed that the life he grew to lead amounted to very little, and that he was not happy with it, forcing the main character to leave his comfort zone and make decisions he would not normally make in an attempt to change things to what will hopefully be a more favorable outcome. Whether or not those changes are ultimately benefiting him in the end or not never clear.
The story itself is full of ups and downs, and as the main character continues to get older things get harder and the story runs into more depressing situations and complications as he gets closer to his death. The experiences he has, the relationships he has with the other characters, all of these things affect him, as for the tragedy and sadness that he undoubtedly experiences, some of it is from circumstances outside of his control, some of it is caused by his own choices and mistakes. It's just life. That's not to say the story is all nothing but depression and sadness (not only would that burn out me but my readers as well), the story at this point manages to keep itself pretty light hearted and humorous despite the overall theme and the moments where a situation may start to get deep.
What makes a story sad when being read is how much the characters or situation relates to or just affects the readers. If the readers hate a character and want to see them suffer , than any tragedy that befalls them is not going to be seen as 'sad' (but there are exceptions to that rule, as some times a reader will find themselves feeling bad for a character they hate even though they wanted horrible things to happen to them before). In another situation, if the readers are used to NOTHING bad sad and tragic stuff happening to this character, then they're not going to see it as sad and instead as a 'laughably emo character/life' (again, there are exceptions to this rule, as sometimes you'll have stories where nothing but bad things happen, and it manages to not create a laughably emo character/life) Pacing, characters reactions, and build up to the 'sad' moment, as well as not over saturating your readers with 'sad' moments are all very important, and because of the many variables involved there is no single right way to handle and present these situations in your story.
Also, it's important to note that you want you readers to be upset at some points in the story, YET you do not want to MAKE your readers upset for the sake of making them upset. (example, killing a character because it affects the story and the characters in the story (good) as opposed to killing a character for the sake of making the readers upset (bad, bad, bad). Don't DO things to mess with readers. You're choices in your story should not be based off "I'm going to do this BECAUSE it will make my readers upset." It's indirectly breaking the 4th wall, your readers are not a physical or written part of the story, the decisions you make in that regard should not be dependent on reader reaction and 'if you can make them cry' Mess with your characters all you want, make your situations relevant to the story and character, but don't deliberately try to hurt your readers. (not to be confused with an upcoming point in the story where something will happen where you know may upset some readers, foresight is not the same as intentionally trying to provoke emotions for no reason but the sake of reader reaction)