Are there times where you just have to let a baby cry?

I've heard this from almost all the moms I've known. They tell me, sometimes a baby will cry for no reason and you just have to let them cry themselves out. Is this true? I have a two month old girl who sometimes cries for no reason. At times, she just wants me to hold her. My husband says I'm spoiling her and to let her cry it out but I can't! It just breaks my heart. So do I let her cry or is there an alternative? I've already fed, given her a pacifier, given her water, burp her , change her, give her a bath, etc etc....but sometimes these things don't work and I end up holding her for an hour until she falls asleep.