The saddest songs I know are by two songwriters, Jane Siberry and Mary Margaret O’Hara.
Jane’s “Goodbye” includes this gut punch: “I meant to say I love you, and instead I said goodbye.”
Mary Margaret’s “You Will Be Loved Again” and “Not Having You, But Keeping You in Mind” are two of the saddest songs in the world.
If You Could Read My Mind by Gordon Lightfoot was the first song to come to mind.
You are not even kidding. ‘OFYN Pripetshok and Nacht Action’ from the Schindler’s List soundtrack reduces me to tears just thinking about it.
When the Tigers Broke Free by Pink Floyd
http://www.seeklyrics.com/lyrics/PINK-FLOYD/When-The-Tigers-Broke-Free.html
It was just before dawn
One miserable morning in black 'forty four.
When the forward commander
Was told to sit tight
When he asked that his men be withdrawn.
And the Generals gave thanks
As the other ranks held back
The enemy tanks for a while.
And the Anzio bridgehead
Was held for the price
Of a few hundred ordinary lives.
<snip>
They were all left behind,
Most of them dead,
The rest of them dying.
And that’s how the High Command
Took my daddy from me.
Good call. The following line has a universal sadness that describes the end of what was once a wonderful relationship.
“I don’t know where we went wrong,
but the feeling’s gone
And I just can’t get it back.”
The MTV Unplugged version of “Down in a Hole” by Alice in Chains.
Down in a hole,
and I don’t know if I can be saved,
See my heart,
I decorate it like a grave
Also, “Black” by Pearl Jam (and the Aaron Lewis cover)
Sheets of empty canvas,
Untouched sheets of clay,
Are lay spread out before me,
As her body once did
My first thought was “The Band Played Waltzing Matilda.” Perhaps the saddest song I know. Note that is was written and first performed by Eric Bogle, and has been recorded by many fine artists, not just the Pogues.
Second thought - “You Don’t Know Me.”
You’ll never ever know
The one who loved you so.
Well, you don’t know me."
Written by Cindy Walker (from a title suggested by Eddy Arnold), recorded by - hell, who didn’t record it? - Eddy Arnold, Nat King Cole, Ray Charles, Elvis Presley, Roy Orbison, Kenny Loggins, Harry Connick Jr., Willie Nelson, etc., etc…
Wow! I love the good taste people on this board have. The two songs that immediately came to my mind were Sand and Water by Beth Neilson Chapman and Where the Wild Roses Grow by Nick Cave – and both of them have already been posted. 
So in that case, here are my votes:
My Baby Need A Shepherd by Emmylou Harris, from Red Dirt Girl:
My baby needs a shepherd, she’s lost out on the hill
Too late I tried to call her, when the night was cold and still
The Weakness In Me by Joan Armatrading, from Greatest Hits (among other albums):
Why do you come here, when you know I’ve got troubles enough?
Why do you call me, when you know I can’t answer the phone?
Someone mentioned Cowboy Junkies but my favorite CJ song to get melancholy to is The Last Spike. The story of a closed rail line which means the death of the town surrounding it and the loss of hope to the singer whose husband was lost at war.
Abbreviated lyrics since I know the Staff doesn’t like full quotes:
Mornings feel so damn sad these days
Without the call of the 8:15
That old familiar echo has finally died away
Leaving nothing but a chill where there once was a mighty scream
And I’ve watched the flat cars take away our timber
I’ve watched the coal cars take away our rock
And now that we’ve got nothing left to take, we’re told
That the wheels will stop turning; whistles will stop blowing
And that this foolish dream must stop
[…]
The longest train I’d ever seen was the train that you were on
I walked you to the station – we kissed, then you were gone
I dream at nights about you coming home
The train in the station, your uniform on fire
As you step onto the platform, the band plays a little louder
And, as we embrace, your cap falls off
Oh, I guess this foolish dream must stop.
Whiskey Lullaby by Brad Paisley and Alison Krause gives me chills every time:
*She put him out
Like the burning end of a midnight cigarette
(snip)
He put the bottle to his head and pulled the trigger
He finally drank away her memory
Life is short
But this time it was bigger
Than the strength he had to get up off his knees
We found him with his face down in the pillow
With a note that says I’ll love her till I die
And when we buried him beneath the willow
The angels sang a whiskey lullaby*
Alison Krause has the most haunting voice; I think she could make the phone book sound like a dirge.
No Magnetic Fields up in this thread?
from Busby Berkely Dreams -
I should have forgotten you long ago
but you’re in every song I know
from I don’t believe in the sun -
They say there’s a sun in the sky
but me, I can’t imagine why
from All my little words -
You said you were in love with me
Both of us know that that’s impossible
from Love goes home to Paris in the spring -
I’m counting the habits you made me break
I’m counting the drugs you won’t let me take
I’m counting the friends you won’t let me see
from The saddest story ever told -
We used to go out on the summer nights
and dance in the neon rain
We used to hold hands at the movie show
but we’ll never hold hands again
from The desperate things you made me do -
Time provides the rope
but love will tie the slipknot
and I will be the chair you kick away
from All the umbreallas in london -
If I live through the night
I could be all right
it’ll make a good song
or something
from Give me back my dreams -
When the clock strikes three
I don’t care anymore
about you or anything
Best band ever.
Boxing, by Ben Folds Five. It’s about the end of Muhammed Ali’s career in, you guessed it, boxing:
Howard,
the strangest things
have happened lately when I
take a good swing
at all my dreams
Another one by Ben Folds Five is Magic. This one’s a bit weird emotionally. It’s a pretty simple song, but lyrics are both sad and happy at the same time. Sad because it’s about a loved one dying, but happy because the death was obviously a release from pain. The music, too, could go either way – it would work in a happy love song as well as a sad song about death.
From the back of your big brown eyes
I knew you’d be gone as soon as you could
and I hoped you would
Hazard, by Richard Marx (about a murder suspect)
Also, in Spanish by Mecano:
Aire (about a suicide) and Cruz de Navajas (about a tragic love triangle).
**Keep me in your Heart for a while ** by Warren Zevon. It might possibly be the one song guaranteed to make me cry. He wrote it knowing he was dying. Hurts even more right now, as my sister was just widowed recently.
Shadows are falling and I’m running out of breath
Keep me in your heart for awhile
You have to try and fit a beatles song into any song question thread. In this case there is yer blues.
I second buckleys lover, you should have come over. It’s beautiful.
Tindersticks have made some pretty sad songs. Perhaps travelling light is the most sad one. lyrics
Not surprised that folks already beat me to Assemblage 23’s 30KFT and Disappoint, but here are a couple more from the same band (Tom Shear has sad and depressing down cold, I must say–as a lover of sad songs, discovering this band was great for me):
Bi-Polar
I haven’t felt so alive in years
The sun is shining down on me
Cocoon
Even though I know it’s only chemical
These peaks and valleys are beginning to take their toll
Fallen Down
And now there’s nothing left
Your face a pale reflection
With only emptiness
You’ve lost your life’s direction
Let Me Be Your Armor
(it’s hard to get the effect of this one without quoting the whole thing, but I’ll try):
Let me take the fall
Let me take the blame
Let me carry you from hell
To home again.
(more of the same “let me take care of you” lyrics)
(then the last verse kinda hits you between the eyes):
Let me keep you from
And finally, a happy little ditty from Alan Parsons:
Oh Life (There Must Be More):
Where is hope
When words fail
All the colours running
Inside when life turns pale
Kevin Gilbert
This is with Toy Matinee
But his other stuff is as good or better
Check out Http://www.kevingilbert.com
Grey is not the color I expected
On someone who is often touched by grace
This is exactly what happened to me the first time I heard it. I was bouncing along to the album, and halfway through 30kft I burst into tears.
I agree with winter: Assemblage has depressing down like nobody’s business.
Also Bruderschaft’s Forever: *
I was never what you wanted, I could never never please.
I swallowed all our sorrow in the midst of my disease…
*
Holding On, VNV Nation
*I thought the future held
a perfect place for us
That together we would learn to be
the best that we could be
Brick, Ben Folds Five, Hallelujah, Rufus Wainwright, Eleanor Rigby, the Beatles (of course), and Vimy, by Tanglefoot.
Now I’m all depressed, but nevertheless I think we should have a VNV Nation/Assemblage 23 Appreciation thread.
Oh, so many, what to choose? Some favourites:
Billy Bragg - Valentine’s Day Is Over
Thank you for the things you bought me thank you for the card
Thank you for the things you taught me when you hit me hard
That love between two people must be based on understanding
Until that’s true you’ll find your things
All stacked out on the landing, surprise, surprise
The Waterboys - Red Army Blues
Used to love my country
used to be so young
Used to believe that life was
the best song ever sung
The Smiths - Asleep
Don’t feel bad for me
I want you to know
Deep in the cell of my heart
I really want to go
Matchbox 20’s Back 2 Good–about a guy who’s trying to find a one-night stand after ending a relationship:
*It’s nothing, it’s so normal you
Just stand there I could say so much
But I don’t go there cuz I don’t want to * …