Not to be condescending, but I don’t think you do. That’s a mislabeled file going around on Kazaa/etc. which is really by a band called Downface (www.downface.com). 
The Last Kiss Pearl Jam
Elenore Rigby The Beatles
Father of Mine Everclear
An incredible 3-woman Native American acapella group, Ulali, has a song called “Museum Cases” on their album. At several points in the song, their voices rise to the most profound and painful wail I’ve ever heard recorded. It never fails to force tears out of me.
Highly recommended. Here’s their website.
Seven Spanish Angels ~ Willy Nelson
Percy’s Song ~ Bob Dylan
Texas Girl at the Funeral of Her Father ~ Randy Newman
In addition to many already mentioned.
The Smiths “Unhappy Birthday”
with a skinned knee (thanks, Jay!)
BY MY SIDE from GODSPELL
ON THE WILLOWS ditto
WINTER - Tori Amos
THIS WOMAN’S WORK - Kate Bush
THE FOG ditto
Actually, the saddest song in the world was written by Yours Truly, Mr. Cynical, just now. Like to hear it, here it goes.
My penis fell off in the forest/and was stolen by a chupacabra
I made dinner for my soon-to-be ex/lit the curtains with the candleabra
I accidentally cooked my dog, too/but he was undercooked and rancid
I hooked up with my mother-in-law/and I did what my in-law dad did
And my belly button untied itself/while I contemplated my navel
I got fired, too.
The end.
Another vote for The Last Kiss by Pearl Jam.
Gorecki’s No. 3
Fly by Celine Dion
ALSO (How could I forget):
Guilty B. Striesand/Barry Gibb
Black Pearl Jam
Jeremy Pearl Jam
ALSO (How could I forget):
Guilty B. Streisand/Barry Gibb
Black Pearl Jam
Jeremy Pearl Jam
Celine Dion? Now that is sad. 
Well, this is really embarrassing because this song was actually used in a commercial for a while, but “Turn Around” chokes me up and makes me cry every time. The song is about watching your child grow up and leave (boo hoo!), and how quickly that seems to happen. (It’s the one with the lines, “Turn around and you’re two, turn around and you’re four, turn around and you’re a young boy going out of my door.”) My boys are pre-teens now, and sometimes it does seem as if they were babies just yesterday. That makes me think about how six years or so from now, I’ll most likely be in shock that they’re off to college. Aaggh, I’m getting sad now!!
YES IT IS SAD CONSIDERING IT’S THE SONG SHE SANG TO HER NEICE AS SHE DIED IN HER ARMS FROM CYSTIC FIBROSIS. I DON’T BELIEVE YOU ASK US TO TELL YOU YOUR SADDEST SONG !!!
:wally GEE JJIMM, I DIDN’T KNOCK YOUR MARY CHAPIN CARPENTER CHOICE NOW DID I ?:mad:
Good Lord, Celine Dion meltdown!
Calm down, calm down, I was only taking the piss. 
But do note: my OP asked for songs that in themselves are sad - not sad by association.
jjimm - Have you listened to the words? How sad , oh never mind, the song really is very sad to me AND NO CELINE MELTDOWN HERE. SIMPLY MY OPINION 
The saddest song in the world is one by Clandestine, a Texas-based Celtic bad that will sadly be dissolving later this year. It’s called Miner’s Lulaby*, and its told from the POV of a 19th century Irish or Scottish immigrant coal-miner’s wife, telling the story of how miners carried morphine with them in case they were trapped in a cave-in, so they could die in their sleep instead of slowly suffocating, and hoping that her trapped husband has taken his since nobody can rescue him.
“Husband sleep, lay your head back and dream.
A slow falling leaf borne down by the stream
And carried away on the wings of morphine,
Homeward, far over the sea…”
I always feel kinda guilty applauding the song when they perform it…
That reminds me of another one: The Time Has Come by Christy Moore, about a Hunger Striker saying goodbye to his wife for the last time.
Jaystercom-
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DO YOU KNOW WHAT ELSE IS A SAD SONG, THIS ONE CALLED ‘ONCE THERE WAS A GUY WHO IS OVERLY SENSITIVE ABOUT HIS MUSICAL TASTES AND WRITES IN ALL CAPITALS WHEN HE CAN’T THINK OF ANY OTHER WAY TO CONVEY ANGER.’ IT IS A GOOD SONG YES IT IS DON’T MAKE FUN OF ME.
I hate to bring back an old thread. But I just heard “The Car”, by Jeff Carson. For anybody close to their dad, this one is a tear-jerker.