The first season didn't really had all that much sad moments, I think.
I can only really recall two moments, which I thought were sad. (Or well, they weren't actually sad, but touching)
The real stuff starts only at around the second half of the second season, in my opinion.
Yeah, but still, it is just one "What if" Episode.
During the actual Anime she wasn't more than just a minor side character, if I recall. (I am talking about Kyou here)
I simply want to say that you'd probably read the Visual Novel if you don't want to miss out on anything in Clannad