Another vote here for Honey by Bobby Goldsboro. Softly, As I Leave You (I don’t remember the artist at the moment) always made me blue. Is That All There Is by Peggy Lee was downright depressing.
Haven’t heard any of them in a long time, and don’t hope to.
Anything by Portishead.
Noby loves me is a good example
The Whitlams - ‘You Gotta Love This City’ - suicide in Sydney Harbour on Olympic Opening Night.
The Whitlams - 'Cries Too Hard’
The Whitlams - 'The Curse Stops Here
Don McLean - Vincent
Art Garfunkel - Bright Eyes - I think I like this mostly because of my obsession and frequent watching and re-watching of ‘Watership Down’ when I was small.
Have to second Gloomy Sunday. And perhaps Billie Holiday’s ‘Strange Fruit’ - though it IS sad, maybe it should be under the ‘Eerie’ category.
And ‘And The Band Played Waltzing Matilda’
I know the OP was looking for our individual one ‘sadDEST song’ - but I’ll just, you know, nominate these and proclaim myself indecisive.
Does anyone else take a look at threads like this and then just have to go and find copies of everything mentioned?
“All of My Love” by Led Zeppelin, which is supposedly about the death of Robert Plant’s son.
And just about anything by Joy Division.
Seconded. Oddly it is one my favorites.
I find JD’s lyrics depressing, not particularly sad. Not saying that you don’t find them sad, however.
Probably something by the Smiths.
Maybe “Last Night I Dreamt…” which has the most excellent beginning or “I Know It’s Over”.
The Mountain Goats - No Children
This incredibly bitter song is the center piece on John Darnielle’s concept album Tallahassee, which narrates the lives of a troubled couple who’s decided to drink themselves to death somewhere out in the countryside. With dark, yet brilliant lyrical gems like: “I hope that our few remaining friends/ give up on trying to save us/ I hope we come up with a failsafe plot/ to piss off the dumb few that forgave us,” and “I hope it stays dark forever/ I hope the worst isn’t over/ and I hope you blink before I do/ yeah I hope I never get sober.”
Minutemen - History Lesson pt. II
A nostalgic song from the sprawling Double Nickels on the Dime, where D. Boon looks back at the humble beginnings of Minutemen, which he started with his best friend Mike Watt, when they were teenagers: “our band could be your life/ real names be proof/ me and Mike Watt/ we played for years.” What makes this song so sad is the fact that D. Boon died in a car crash a year after the album was released. The final line: “me and Mike Watt, playing guitar,” breaks my heart every time.
The Replacements - Here Comes A Regular
This song reminds me of fall, and all of my old loser drinking buddies who I’ve turned my back on lately: “and sometimes I just ain’t in the mood/ to take my place in back with the loudmouths/ you’re like a picture on a fridge that’s never stocked with food/ I used to live at home, now I stay in the house.” Tim is the most depressing album I own, but I still play it often.
Do you live in the Twin Cities, Husker Dude?
Nope, I live in Norway. But I have family there, which I’m actually planning on visiting sometimes next year.
Gollum’s Song, from the LOTR:TTT soundtrack. Lyrics here
Oh, right. That Norwegian family in Minnesota. I know them! 
I live in Minneapolis, so I noticed your tastes for local music (Replacements, Husker Du).
I Don’t Like Mondays by The Boomtown Rats
seasons in the sun - terry jacks get my vote
I Can’t Make You Love Me by Bonnie Raitt
Send in the Clowns always made me sad.
“Send in the Clowns” is a good choice. Another good one about divorce is Gordon Lightfoot’s “If You Could Read My Mind.”
Another Boomtown Rats one: Diamond Smiles - I remember lying on the floor listening to this over and over again when I was about 8 years old. You can read the lyrics here
Gary Jules - Mad world (donnie darko soundtrack)
Jeff Buckley - Hallelujah
Righteous Brothers - Unchained Melody
R.E.M. - Everybody Hurts
U2 - If god would send his angels
Lou Reed - Perfect Day
The Wallflowers - I started a joke (or the bee gee’s original version)
Foo Fighters - Everlong
Isreal Kamamawiwo’ole - Somewhere over the rainbow/it’s a beautiful world
That’s what’s on my sad songs playlist anyway
Yesterday,when I was young-Roy Clark
http://www.lyricsdepot.com/roy-clark/yesterday-when-i-was-young.html
How could we have gotten this far and not mentioned the Ultimate Sad Song?
Puff the Magic Dragon.