One song that will make SWMBO break down and sob is Christine’s lament to her father in Phantom of the Opera: Wishing You Were Somehow Here Again.
And there are days when I have real problems playing and singing John Denver’sI’m Sorry.
“salon and saloon” by jim croce.
Monday Morning Church by Alan Jackson. The guy can’t even pray anymore, because his wife was very religious and talking to God only reminds him of her. And to make it worse, throughout the song, you think she left him. And then it turns out she died…bummer.
This wins in a runaway.
Radiohead’s “Exit Music (For A Film)” is devastating as well, but nothing beats Adagio For Strings. If that doesn’t bring a tear to your eye you’re either dead or unfeeling.
In the rock genre, H by Tool has always struck me as tremendously sad.
Some lyrics:
“Venomous voice tempts me, drains me, bleeds me, leaves me cracked and empty, drags me down like some sweet gravity.”
“I am too connected to you. Slip away. Fade away. Days away I still feel you touching me, changing me.”
Don’t know about the saddest but a couple of sad songs I can think of at the moment:
This may be considered unoriginal, but I have reasoning for saying Eric Clapton’s “Tears in Heaven.” I found it so touching and tragic when his Unplugged album came out, and loved the song for what it was. But now that I am a mother myself to two very small boys, I cannot bear to hear him sing the pain and grief of losing his 4yro son so tragically and terrifyingly. Every time I hear the song now, I think of that child falling to his death, and…ggaaaaAAAHHH. I need to go hug and kiss my boys now. 
That song is virtually unlistenable to me now.
There was a 9/11 tribute on and Paul Simon sang The Sound of Silence. I was on vacation and have a lovely time, then I swear right then I wanted to drown myself in the lake.
The American Suicide Song: Linda Ronstadt - Long, Long Time - YouTube
As for conspicuously sad, one might consider Artificial Flowers – performed as far as I know only by Bobby Darin – although it’s perhaps a bit too maudlin and too upbeat not to be a joke. Spotify link.
“They found little Annie all covered in ice / Still clutching her cold frozen shears / Amidst all the blossoms she had fashioned by hand / And watered with all her young tears”.
Although Harry Chapin was already mentioned, he has some nice, more famous ones, none of them at all subtler than The Shortest Story: Cats in the Cradle (father has no time for son, son grows up and has no time for father); Taxi (a chance meeting of two former lovers reminds them how miserable they are – both the one who succeeded and the one who failed); Sniper (a ten minute dramatization of the 1966 University of Texas shooting); Dogtown (describing a town full of whalers’ widows). Good stuff, good stuff.
I’ve always argued that half of They Might Be Giants’ earlier work, when properly interpreted, is some pretty depressing stuff, covertly obsessed with death, their veneer of absurdity notwithstanding. I mean, c’mon:
If you need to feel helpless with hope gone, “Hungry Eyes” by Merle Haggard will get the job done.
It was covered by British band The Beautiful South
I listened to this emo song a bazillion times while a cousin was going through recovery hell. (He made it.)
It has made me cry like a little girl, I’m not ashamed to admit.
Nitpick: it was originally called “No Man’s Land” by Bogle, but most covers use that alternate title.
I have déjà vu about this thread, but my normal response is Leonard Cohen’s “Dress Rehearsal Rag.” But really, you can’t go wrong with some of his other songs, like “Avalanche.”
Hijack:
After listening to that song over the years, I find it less sad than I thought. Yes, it’s about a father who neglected his son only to see the son neglecting him as an adult… but listen to the reasons the son gives to blow his father off:
You see my new job’s a hassle and kids have the flu
So the son, despite his own upbringing, still has time to look after his own sick children. Despite what the singer thinks, his son is *not *like him.
In a way, it’s an inspiring song about a man who manages to break out of a cycle of neglect.
Cat’s In The Cradle and Tears in Heaven have already been mentioned. I’ll add Wharf Rat from The Grateful Dead. About a life wasted in being a wino.
I will follow you into the dark by Death cab for cutie
Sort of a double whammy with the song and the video.
It’s a fairly silly nit to pick. I’m aware of the original title but if I referred to the song as “No Man’s Land” few outside Nitpickistan would know what song I’m referring to.