Choosing a film you actually want to be wrecked by
Earned versus extracted
There is a real difference between a film that moves you and one that manipulates you, even though both produce tears. Earned emotion comes from time spent with people you have come to know; extracted emotion comes from a swelling score over a scene you were told to feel something about fifteen minutes earlier.
You can usually tell within the first act. If the film is already asking you to be sad about someone you have just met, it will keep asking, and by the end you will feel handled rather than moved.
Grief, injustice and time
Most great sad films run on one of three engines: losing a person, watching someone be treated unfairly, or simply the passage of time. They leave you in very different states. Loss is cathartic and finite. Injustice leaves you angry, which is not restful. Time is the quietest and the one that tends to follow people around for days.
Pick according to what you can carry tonight. There is nothing wrong with deciding you would rather cry about a dog than about mortality.
Plan the landing
Do not start a two-hour tearjerker at half past eleven. This is the genre most likely to leave you awake afterwards, and the films that do their job best are exactly the ones that will not let you go straight to sleep.
Watching with someone helps more here than in any other category — not for company during, but for the twenty minutes after, which is when the film actually finishes.