I sure hope you are talking about the animated movie. If this is the case, I am not sure you will find any overwhelming moments of "sadness." There are some moments where one does feel slightly dejected at the condition of the characters. Oscar starts off as a very pathetic kind of fish. When he wagers the money on a long shot horse only to see it trip over its own feet at the finish line, there is a certain level of sadness felt with Oscar having come so close, yet be denied his moment of victory. I supposed another sad moment is that the only way Oscar can get any hint of respectability is by pretending that he killed Lenny. Self deception is always sad to witness and his ability to achieve social popularity and enjoy the benefits of having a girl friend, Lola, because he was simply near a body after a freak accident is slightly sad. I guess that one other sad moment is that Angie, who really loves Oscar, is sort of discarded as a result of his surge of popularity. While these are mere moments of sadness in the film, I would say that a film like "Finding Nemo" probably has better and more compelling moments of sadness.
when oscar is about to get killed by the sharks when the rastifaran twin things tied him up for bait
Oscar starts out with these dreams of being famous and having his name on the highest billboard. He describes his life as a series of failures and sees no way of escaping his daily 9-5 at the whale wash. Then he gets involved with a gold digger and breaks the heart of his female friend whom he doesn't even know is in love with him because he becomes too self absorbed. Then he loses his money at the race track and loses everything. There are 3 sad moments I just descrbed for you.