It's OK to let cry. If there is no other reason for the crying that needs to be treated, then it is definitely ok, and actually recommended to let him cry. You are the parent, and your child needs to learn at an early age that he cannot manipulate you. Trust me, you will be much happier in the long run, and your child will be better able to adapt to different situations.
Leave the room. This is one step in the sleep technique developed by dr. Ferber. You can train your baby to "self-soothe" by leaving and and progressively waiting longer between comforting your baby at bedtime. You can start with 3 minutes and progress to 5, 7 and so on until your baby falls asleep. When returning, don't pick up your baby, just console him/her. It seems hard and even cruel, but it works.