Of these options, I’d have to say Anakin. But personally I think the top four saddest deaths would be between Mara Jade Skywalker, Jacen Solo, Ton Phanan, and Elegos A’Kla, and I lean heavily toward either Mara or Jacen; I can never decide.
@Van012 everyone has their own feelings on this. I don't remember ever feeling sad about Vader dying and I didn't feel he was a hero. People feel differently about each of these.