I have had this happen many times. It happens to many people in one fashion or another (happy, sad, pain, etc…)
However, as no one knows for certain what a dream is, or why they are, it is different for every person.
I have felt what Les has felt, in the same fashion, but I too, have had dreams, that involve people I have never seen, or meet, and watched them die, and wept for them. Some of the dreams have had in the past still remain with me, I recall them like memories of a real life.
Why do they happen? The most logic conclusion would be your mind, in the state of rest, is mentally filing and sorting through everything you have experienced, and in doing so, have caused you to recall something painful, so painful, that it triggers a reaction in your conscious, causing you to cry. It could also be the same reaction that causes a wet dream. Feelings that are real in your conscious, are used in your subconscious as a function of enhancement to the dream.
All I can offer you would be to say, if you are always waking up crying, start to write down your dreams, immediately upon waking, and before you sleep, write down what you wish to dream about, in as much detail as you can stand. I tried this once, I did it for a month, as I was having horrible dreams about someone in my life, and I wanted them to stop. So I wrote what I wanted to dream, and eventually, I discovered the reason why I was having the dreams, and I was able to deal with it, while, being able to stop the bad dreams and replace them with what I had wrote.