Not only the main theme, but “OFYN Pripetshok Nacht Aktion” (except it has lyrics, so it doesn’t qualify) is absolutely haunting.
And “Auschwitz-Birkenau” never, ever, ever fails to creep me out and make me cry.
Handel, “Dead March” from Saul.
Edward Elgar, “Nimrod” from the Enigma Variations.
There’s a march from Purcell’s “Music for the Funeral of Queen Mary” which is not tear-jerking sad, but is very impressive if you can get the right recording.
Ravel’s Pavane for a Dead Princess they can play at my funeral, although I’m not really a princess, or even a prince…Ry Cooder’s Feelin’Sad Blues from Crossroads is about as sad as a blues guitar can get.
Fleetwood Mac: Albatross
The soundtrack from The Big Blue.
Can’t believe I forgot this one, can’t believe no one else put it up: “Going Home”, a/k/a Largo from the New World Symphony, by Dvorak.
I’ll second that. It is kind of the Adagio for Strings, if the Adagio for Strings was writing a suicide note.
I love it.
It was used to great effect in Fearless, a fantastic movie, and in a one man show I saw.
**Trista Pena **by Gipsy Kings. I think Trista means ‘sad’, but have no idea what it’s about since it’s in Spanish, but it sounds so sad and beautiful.
**In My Time Of Dying **- The Be Good Tanya’s
I always think some mandolin doing some old timey music can be so sad too, a la ** Saint Judas** by Matalie Merchant, ** Annabelle** by Gillian Welch, or** ‘I Wish My Baby Was Born’ **like the version in Cold Mountain movie.
One peice I am reminded of that has not yet been mentioned is “God Moving Over The Face of the Waters,” by Moby.
Damn you, that was just the thing I came in here to mention! 
Huh? I’m listening to this one right now, and it’s a fairly upbeat, jazz piece. It’s got some nostalgic overtones, sure, but it doesn’t get me crying or depressed.
Yeah, that’s a good one. There are probably other sad Moby songs, but I can’t think of any others that are intrumentals.
Wow. I find this piece to be uplifting and joyous, far from sad.
It doesn’t get me crying, I just think it’s very lonely- particularly in the first half or so.
I thought the same thing, but I didn’t want to say anything in case I’d found the wrong song.
I forgot about Dvorak’s “Largo” from the New World Symphony. Thanks again, everyone.
Gustav Mahler.
Now you’ve really got me confused, because the first half is the most energetic and driven–the nostalgic overtones all come in around the second half.
We are talking about the same song? Incident at Neshabur, Carlos Santana?
Last Date by Floyd Cramer.
Heh. I came in to post “Going Home (Theme from Local Hero)” by Mark Knopfler. It’s not technically sad so much as nostalgic and longing, which to me = sad.
I guess the saddest instrumental I know is “The Battle of the Somme” by Fairport Convention, on “Full House.”
“Pavane for a Dead Princess,” mentioned earlier, is a good runner-up.
I’ve always found the theme to Exodus sad (in an uplifting kind of way).
Although Dvorak was mentioned below regarding the largo from his New World Symphony, I would cast my vote for another of his pieces. Specifically, the 2nd movement of his “American Quartet” (String Quartet #12) is “beautifully sad”