I hardly ever cry, and I've never cried at a movie, song or book. (It's not something I make myself hold back deliberately, it's just the way I am.)
The nearest I've ever come to crying at something like that is at certain songs (especially MUCC songs!). I'm not entirely sure why, because generally I can't understand the lyrics, and it's not even completely the emotion expressed through the music (it's not necessarily an 'unhappy' tune!), but it happens to me especially when I'm hearing particularly clear and intricate music. I just feel overwhelmed by talents of composition and execution. But I've never actually cried for real over a song - just felt funny inside.
I always joked about how I'd cry if I saw MUCC live, but when it came down to it, in reality I didn't.
Today I was translating a review of one of their concerts, and that brought it all back to me (it was written very expressively ^_^), which made me feel kind of cry-like inside, but once again, I didn't actually cry in reality.
Another moment that particularly stands out for me feeling 'emotional' was when watching the live Gackt/Kami duet of 'Regret' performance - piano and drums. The combination of the music and Kami's expression was really moving.
The last time I actually cried was when my father died, in 2000.