I actually cried when the golfer Payne Stewart died. I've always loved watching golf and the way he died was just so tragic (plane on autopilot, windows blown out, everyone assumed dead, escorted by military jets until it crashed).
Not too long later, JFK Jr died and although I thought it was sad, it didn't make me cry.
I can't specifically remember if I cried with Princess Diana, but I'm sure I must have since I was very pregnant at the time (due Aug 20th, son born Sept 5th...I think she died Aug 31st and I know the funeral was the day my son was born).