The first time I ever heard “Have Yourself a Merry Little Christmas” was when they played it during the firing squad scene of The Execution of Private Eddie Slovik. Talk about heavy-handed!
The song gets extra creepiness points for invoking pagan deities (The Fates).
“You’re a Mean One, Mr. Grinch” is positively upbeat!
This is the Stephen Sondheim variant of the song, obviously. 
Not so much a sad Christmas song as an angry one.
Btw, how could I forget Vera Lynn’s THE LITTLE BOY THAT SANTA CLAUS FORGOT, which I first heard in the movie Pink Floyd’s The Wall and found on a compilation Christmas album of women singers last year.
Oh! Watch the movie of Kurt Vonnegut’s MOTHER NIGHT with Nick Nolte & you’ll never hear Bing Crosby’s WHITE CHRISTMAS the same way again.
I have to leave the room if I hear this song, because it makes me bawl like a baby.
Even though “O Holy Night” isn’t a sad song, it always makes me tear up, right around “a thrill of hope, the weary world rejoices.”
That would me who bawls at “Christmas in the Trenches,” actually. LHoD, as evidenced by his “Christmas Shoes” parody, isn’t quite as sentimental as I am.
Hehe…of the whole year, I’m least cynical around Christmas, but there ARE limits to my sappiness, and those goddamn shoes are clearly well over the line…
That’s the first one I thought of:
*Crowded streets, busy feet, hustle by him
Downtown shoppers, Christmas is nigh
There he sits, all alone, on the sidewalk
Hoping that you won’t pass him by.
Should you stop, better not, much too busy
You’re in a hurry, my… how time does fly
In the distance, there’s a ring of laughter
And in the midst, of the laughter he cries.*
Also,
"In The Ghetto"
I’m not sure it qualifies as a Christmas song, but they always play it at Christmas.
It Wasn’t His Child always gets me. I’m an atheist, but one with a strong emotional attachment to a lot of Christian mythology.
But the worst – the one that always kills me is Hard Candy Christmas. For some reason it reminds me of the Christmases when my husband was out to sea. I always thought of those as hard candy Christmases… God, I’m crying just thinking about it, and he’s been retired from the Navy for 3 years.
I love Hard Candy Christmas. Of course, my context is probably different, since I’ve never heard the Dolly version and only know the RuPaul version from his Christmas album a few years back.
-Enya’s version of Silent Night
-Dido’s Christmas Day
-The Cat Carol
Simon & Garfunkel’s Silent Night/7 O’Clock News
The Squirrel Nut Zippers’ Gift of the Magi gets me more prone to weepiness than I’d like to be…
Kill A Tree For Christ by Celtic Elvis. I realize it was intended to be satiric, but it makes me think twice about putting up a Christmas tree anymore.
I know there’s a policy about posting song lyrics here, but you can probably guess by the song title what it’s about.
I’m going to chime in in support of I’ll Be Home for Christmas.
What you have to remember about this song is that it came out in the middle of World War II, and is being sung from the perspective of a lonely GI somewhere far from home. So when the line “I’ll be home for Christmas…if only in my dreams” comes along, it has some extra meaning.
Tears me up, man.
I don’t know who sings it, but it’s being played on XM Radio a lot on Special X. Christmas Wish is sung to the tune of Sleepwalk by someone who sounds a lot like Chris Isaac. It starts off with the sound of waves like someone is standing on a pier. The lyrics speak of a lover whose only wish is that his woman could come back to him (she’e either dead or left him.)
At the end, he whispers something like “I miss you. I’ll see you soon.”
…waves
…gunshot
…splash.
Heh. I’ve heard Darryl Cherney’s “Spike a Tree for Jesus”–is it anything like that?
Daniel
I didn’t see that movie, but I did see an episode of Family Affair in which Uncle Bill has Cissy, Buffy, and Jody go to some kid’s home for a Christmas party months early. It’s a pleasant surprise to them, until Bill tells his nieces and nephew that the kid has leukemika… 
God, I’m sorry I misspelled “leukemia” in that last post…
“O come, O come, Emmanuel” is about the saddest sounding Christmas hymn I can think of. I love it, though.
Noel Paul Stookey’s (of Peter, Paul & Mary) Christmas Dinner will always get to me. It’s the story of a homeless boy on Christmas Eve. Will Vinton’s Claymation made a short video for this song called Christmas Gift. Very good.