Ah, but would HnG be such a good story if Sai came back? Of course not - The tragedy of the dying mentor is a key to the whole story, and also forces Hikaru to grow up. In a sense, you could say that Sais death is both his last and most important moment in teaching Hikaru.
I felt bad about it for weeks, of course, but it was a good "bad". As you say, a story that can make you feel so deeply about a fictional character has bidged the gap between pretend and real, and touched physical through your very real emotions. This is the hallmark of great storytelling.
About the specials, there is a discussion earlier in this thread about their order.
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