sadly, i am one of the deprived souls who has not seen "the muppets celebrate jim henson" but would really like find it and see it someday (and will probably be crying my eyes out at the end of it) but the other tearjerker moments i can think of are:
1. in "the christmas toy" (my favorite christmas specials of all time along with "muppet family christmas") when mew the catnip mouse is "frozen" because he was caught out of place--its hard to explain but i'm sure some of you have seen it and would understand--i first saw it when i was 5 years old and ever since i have teared up during the movie.
2. rainbow connection at the end of TMM--of course
3. when big bird is told about mr. hooper's death on Sesame Street
4. and well, this doesnt really rank with all the others, but when i was reading the tributes to jim henson by all his fans on this site and listening to rainbow connection at the same time i was crying very hard by the time i was done reading them.