Tori Amos’ version of “I don’t like Mondays” on the strange little girls album is pretty chilling and sad.
I always listen to later Queen albums wondering, did Freddie know he was dying when he wrote songs like “who wants to live forever” and “the show must go on”.
Quite a few Hank Williams songs are heart breaking too.
I’ll third Gorecki’s No. 3 and add I Am Stretched On Your Grave by Dead Can Dance.
A few have already been mentioned like Hallelujah by Leonard Cohen.
Simon and Garfunkel - Bridge Over Troubled Water
Radiohead - Paranoid Android
Placebo - Without you I’m Nothing
and for Irish songs it’s:
Grace
Blarney Pilgrims - Willie and Danny (I think that is the name of the song!)
Cats in the Cradle was originally by Harry Chapin, then some 90s grunge band did a cover of it.
I am not sure who Tom Croce is. There was a Jim Croce who was in the same general genre (1970s folk/rock) as Harry Chapin, and I think Harry has a brother named Tom.
Somebody already mentioned For No One, which would be my top vote-getter.
In second place is the outrageously maudlin, yet genuinely touching, The End Of The World, by Skeeter Davis.
Great selections here. Think I’ll be adding to my CD collection after reading this thread. Here’s a few of my favorites:
Putting the Damage On, Playboy Mommy, Me & A Gun, and 1,000 Oceans -Tori Amos
Sing* -Blur
NightSwimming REM
Time of Your Life -Green Day
Independence Day -The Wallflowers
Long December, Round Here, Amy Hit the Atmosphere, and Omaha -Counting Crows
How To Fight Loneliness -Wilco
Brick -Ben Folds Five
Fourth of July -Ani DiFranco
Lover You Should Have Come Over - Jeff Buckley (the tortured wail gets me every time)
Lady Ice - Arcadia
Spies - Coldplay
If I Wrote You - Dar Williams
This Woman’s Work - Kate Bush
The saddest song I can think of is " Santa I’m right here" by Toby Keith. I don’t listen to country music much, but I have to admit it’s a powerful song: my eyes fill with tears every time I hear it.
Other sad songs:
** Make it Last** by Stroke 9
Lovesong by The Cure (Tori Amos’ version is good too)
**Now What?[/by] by Possum Dixon
The two that never fail to bring a tear to my eye are both Irish songs. “No Man’s Land (Willy McBride)” was already mentioned, and another one called “Kilkelly, Ireland”. The lyrics are from a bunch of old letters the writer found in his grandparents’ attic, from the relatives back home in Kilkelly to the son who came to America, always asking when he’ll be coming home.
I think Gene takes my personal award for “saddest song” with Drawn to the Deep End.
“The Living Dead” by Suede (the London Suede at the time) is up there too.
And of course let’s not forget “Asleep” by The Smiths.
My vote would go to the Pogues version of The Band Played Waltzing Matilda, but since that’s already been mentioned, I’ll nominate my runner-up, The Fields of Athenry. I don’t really have a favorite version. That song sounds great when anyone sings it.
Others:
Tori Amos - Me and a Gun
Jimi Hendrix - Castles Made of Sand
Dubliners - Town I Love so Well and The Last of the Great Whales
Spirit of the West - Far too Canadian
“Blue Moon Revisited (A Song for Elvis)” - Cowboy Junkies
Henry Purcell - Dido’s Lament (otherwise known as “When I am laid in earth”, from the opera Dido and Aeneas). IMO, the saddest song in the world, and one of the most beautiful ones, too.
ndorward, have you heard Andreas Scholl sing In Darkness Let me Dwell? Yikes! It’s just toooo yummy!
Marie by Townes Van Zandt. If this doesn’t make you blubber, your heart can chill a can of beer!
I recall two other songs that are sad that I knew when younger.
1 - “Roses For Momma” - C.W. McCall
2 - “Honey” - I’m not sure who sings it.
But Ugly Kid Joe did the “Cat’s in the Cradle” remake, I like both
Harry Chapins’ and Ugly Kid Joe.
Here are some that have gone unmentioned thus far:
Manhattan Kansas as sung by Glen Campbell*
Sand and Water Beth Nielsen Chapman on album of same name
Meat Loaf, believe it or not: Two Out of Three Ain’t Bad. No link cuz you all know the song.
and one instrumental:
Blood Sweat and Tears’ version of the Eric Satie “Trois Gymnopedies”, as it appears on the otherwise untitled album Blood Sweat and Tears.
See, that shows just how sad that song makes me. I get so upset that I make up names for 70’s folk singers. I meant Harry Chapin.
Oh it’s corny and I’m ashamed to admit it, but “A Daisy A Day” always gets me 
The Train Song by Tom Waits
or
Song To The Siren by This Mortal Coil
Chronos, I have to agree with you on “Kilkelly.” That song starts out sad and just gets worse with each verse. For, like, 35 minutes.
Somebody pass the Prozac.