It's one of those shows with a lot more going on in it other than "oh, it makes me feel sad." There's usually a lot more to a piece of fiction other than it entertaining you or making you feel something, and this show does have that in spades.

You could focus on the character dynamics in terms of how everyone plays off of each other in terms of morals and aims (especially Sayaka/Kyouko, Homura/Madoka, Homura/Mami). You could focus on the unintentionally natural subversion of the magical girl formula in a successful context. You could cite all of the spiritual ties with Madoka's journey of self-actualization mirroring that of the Buddha, or more obviously the end result turning her into an exact parallel to Jesus in Christian ideas, and even in Homura -- where her devotion to Madoka, to someone who she has fought so long for, to keep her going even after experiencing so much pain -- representing the importance of having faith, not in any specific religion but having faith in something will help set you toward the path of hope. Heck, Urobuchi even causes Madoka to suffer as she does to demonstrate the idea that blind faith gets you nowhere, that it leads to nothing but pain.

You could examine the tragedy of the situation, and the general application of tragedy throughout the show. Nobody has it easy, nobody gets a happy ending handed to them, anything has to be earned, and the nature of the situation does whittle everybody down to their breaking points.

You could talk about Sayaka; regardless of how you feel about her in terms of liking her, she's undeniably the best-written tragic character in anime. The situation seems like something we as a society demonize her for; she uses her only wish on a boy she has a crush on, only to be crushed when her affection is not reciprocated. She gets set off by this into a downward spiral, her use of magic and doubting of her friend's true commitment to her continuing to crush her mental state, until she explodes. Her last encounter with a witch as a magical girl showcases her blowing her cork, taking out her frustrations to the point where it becomes monstrous. Afterwards, her own feelings of doubt over whether the world is worth protecting or not is confirmed in her mind via comments from those dudes on the train about a girl one of them is seeing, taking offense to him treating her like crap. She places herself into the situation mentally, and given how hurt she was by Kyousuke, despair begins to overcome her soul. She loses herself, claiming how stupid she is, before turning into Octavia.

How is Sayaka treated afterwards by those she was close with? She's mourned. Dearly so. She causes nothing but despair to those who knew her due to her losing herself. Sayaka's journey, as well as the aftermath, is a metaphor for suicide, due to all of the above. And you know why her loss is so impactful to the viewer, despite her flaws? Because she's human. She feels like a real person, with her own flaws and selfish desires that cause her to lose herself. Like everybody in the show, she feels like a real person and not a cardboard cutout.

You could talk about how ultimately, this is a story about hope. The dangers associated with too much hope, as well as the fact that when things are at their darkest, keeping a ray of hope will help set you on the path toward happiness. There are no easy answers in Madoka Magica, there's no reward just plainly handed to the protagonist. Everything is earned, and has weight due to the amount of suffering that has occurred en route to earning it. It's a show with dichotomy, presenting both sides of a point of view and acknowledging the faults with both points of view, especially the one the audience aligns with.

There's definitely a lot more I could write about this, but I'm going to sum up the above thoughts with: sure, you have all of these parts. But what matters in the end is the sum of those parts, which works cohesively to tell a narrative that works on an emotional level even on the surface, and it only gets more complex and rewarding as you explore its depths. It's a show that's got a lot more going on to aid the surface elements, while still being parts that could easily be the standout portions of a different series. It's a show that has a strong foundation, and the inner workings are detailed, weighty, and play off each other so fluidly that it feels like a cohesive entire body of work even in just 12 episodes.

So, another thing I take issue with in terms of discussing how anime makes you feel is talking about only if "it makes you cry" or "it has major character deaths". I take umbrage with it in terms of shows like Clannad, ef, etc. where the emotional moments don't feel earned, but forced.

Steins;Gate doesn't have this problem, no. It's a rather good show, in fact, especially in its later half, where it plays around with the nature of visual novel adaptation to form a cohesive narrative that leaves an emotional impact. Everything in the show in that half feels earned. Nothing ever truly feels unnecessary in that half of the show.

The first half of the show? Not so much really, no. It's the nature of the adaptation, I guess, where you have a bunch of dicking around, even if it does reveal important plot points, but it ends up starting to drag a lot at points and doesn't really hit its stride until the halfway point, where things actually start happening in terms of moving something we could actually consider a plot forward. It's also worth noting that while Steins;Gate's messages are there and clear, important but lacking further elaboration. It's still good, but it could be better on that front. Like I said before, it does work on an emotional level, but a lot of the first half lacks the weight that it does gain about halfway through the second cour.