Two not mentioned yet:
Taxi by Harry Chapin
Mr. Bojangles by Sammy Davis, Jr.
I’d have to lend another vote to The Band Played Waltzing Matilda. I have no idea how a song can be more sad than that.
But, to add some more sad songs, I’d like to add Mary Queen of Arkansas by Bruce Springsteen, Five Years by David Bowie, much of Radiohead’s OK Computer (especially Exit Music (For a Film)), pretty much all of Beck’s Sea Change, Portishead Glorybox, Duke Ellington’s Mood Indigo, Nick Cave The Mercy Seat (or Johnny Cash doing it). Perhaps Heart Shaped Box by Nirvana and Daughter by Pearl Jam.
Also, of course another vote for the Lacrimosa from the Mozart Requiem. Or Ligeti’s stuff from his mass, especially Lux Aeterna (which is a modernist a capella version, used in 2001 as the monolith music).
I’m frankly surprised nobody nominated the last arias from “La Boheme” or “Aida” or another opera.
And Leader of the Pack, and Tell Laura I Love Her. The guys from “High Fidelity” were right.
But I have to say, by far the most depressing music I have ever heard has been Israeli. Hebrew songs about the wars in 1967 and 1973. Even though it is complete schlock (just look up pictures of Yehoram Gaon and you will know what I am talking about.) It is all songs like “Milchama Ha’acharona” – a man promising his daughter that this will be the last war. Or “Balada Chovesh” – a medic goes to rescue a wounded man in heavy fire. The wounded man is saved, but the medic is killed. The song ends with the wounded man singing “Achi Achi sheli” – my brother, my brother. Or “Givat Hatachmoshet” – a song about the bloody battle for Jerusalem’s Ammunition Hill, where there was vicious trench-to-trench fighting between Israeli paratroopers and hardened Jordanian troops in 1967.
Perhaps it is that no real English tearjerkers that I can think of at the moment came out of modern warfare. Perhaps in WWII – “It’s a Long Way to Tipperary” or “We’ll Meet Again.” But the climate around Vietnam perhaps didn’t allow for it. But the Israelis can write songs about wars which are relatively fresh and were viciously fought for the survival of their country.
I found an English translation for “Givat Hatachmoshet” in case anyone is interested. It doesn’t disappoint.
My Life sung by Judy Collins
Hey, That’s No Way to Say Goodbye by L.Cohen
If You go Away, Maybe it was The New Seekers(??) who sang it.
Tom Waits’ I Don’t Wanna Grow Up, as rendered by Holly Cole. The original comes off like a Peter-Pan anthem, because the music is so energetic (manic, even) – Holly Cole slows it down and lets the lyrics sink in: “Open up the medicine chest / I don’t wanna grow up.” --Oh, it’s not about preserving youthful innocence, after all.-- 
Two of the saddest songs I know are actually quite hopeful, and coincidentally, both mention bluebirds: The White Cliffs of Dover and Somewhere Over the Rainbow. I guess they’re both more properly called “wistful” than sad, but they make me cry like a little girl, every time. I’m such a sissy.
‘Heart Shaped Box’ by Nirvana. It’s about dependence on another human being, and I was once that dependent on another human being’s presence to be comfortable. This song I associate strongly with her, since she was a Nirvana fan, and every time I hear it, my eyes fog up.
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“sometimes in winter” by blood sweat and tears.
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“I Want To Believe It’s You” by Quarterflash (1985 album Back into Blue)
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“Angel from Montgomery” by John Prine
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“First Episode at Hienton” by Elton John (his eponymous album)
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The eighteenth variation of Sergei Rachmaninoff’s Rhapsody on a Theme of Paganini (featured in the tragic film “somewhere in time”)
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“Drive all night” would be my pick for Bruce Springsteen (The River)
This thread could do with some youtube links. Stupid 2002!
The one that takes the cake has got to be “Shiva” by The Antlers.
I thought at first it was just a metaphor for a bad breakup, and it was pretty depressing then. But by the end you realize it’s a wish that he could trade places with that cancer patient… That’s when the floodgates opened.
More that haven’t been mentioned yet:
“Ra Is a Busy God” - Happy Rhodes
“Sold My Soul” - Black Label Society
“My Name” - Lhasa de Sela
Cornier/more embarassing ones:
“The General” - Dispatch
“Pasion Prohibida” - Rata Blanca
“I’ll Keep Your Secrets” - Trans-Siberian Orchestra
“Gift of Paralysis” - Envy on the Coast
“Cambodia” by Apotygma Berzerk
“I Never Cry” by Alice Cooper
Seconding already mentioned ones:
“Hallelujah”, but only the Jeff Buckley version
“The Dance”, by Garth Brooks
“And So It Goes”, and maybe half of Billy Joel’s total volume of work
Every sad Irish folk song ever
For me right now it’s Atoms for Peace, by Thom Yorke. More for personal reasons though. It’s actually sort of an uplifting song.
There are tons. I’d pick Casimir Pulaski Day by Sufjan Stevens off the top of my head.
Was reading through the thread whilst searching for this song on youtube to post at the end, but you beat me to it. Seconded. sobs
ETA: Missed the zombie-aspect, but the song is as sad as ever.
Although it is mainly because of its link to the ‘Feline Fantasies’ segment in the animated film Allegro Non Troppo (and my love for kitties) I literally cannot hear more than a few notes of Jean Sibelius’ Valse triste (Sad waltz) without tearing up (am doing so just writing this :()
Warning: Once seen it cannot be unseen!
Call me crazy, but Beth by Kiss is pretty damn sad if you ask me.
It used to be David Gray’s cover of Say Hello, Wave Goodbye.
But now Codex by Radiohead has taken that spot. Everything about it is hauntingly lonely. I’d actually be interested to know if anyone can listen to it and not think it’s about someone standing at the edge of a pier debating whether he should kill himself.
A Coral Room off of Kate Bush’s Aerial. Like much of Kate’s work, it is obviously deeply personal and therefore a bit obscure. Also, I’m a huge Kate fan and wouldn’t be impartial, but I played it for my niece, a huge music fan but totally unfamiliar with Kate, and she said “That is the saddest song I’ve ever heard!”.
Oh my god, someone mentioned her besides me? faint
But now you’ve got me curious. What is it about the song that makes it a sad song to you? How do you interpret the lyrics?
I think her saddest song is “The Chariot” because it’s from the point of view of a kid from an abusive broken home, who’s picked up by the non-custodial parent for a visit. To the kid, the parent coming down the street in their car looks like god coming in a chariot. That’s where the title comes from. The kid is happy, feels safe, but then when it’s time to be taken back to the black hole of the abusive home, the kid pleads with the parent not to be taken back. The kid is unable to come right out and talk about the abuse and hopes the parent will notice the fear and shame and depression that the kid now has. The parent doesn’t, is totally oblivious, and takes the kid back. It’s really heartbreaking.
I’ve always interpreted it as major abandonment, it’s definitely not about wanting more sunny days at the beach if you ask me. Seems like the experience of hero-worshiping someone who’s ridiculously self-involved, or perhaps being romantically involved with them, or a daughter trying to get attention from a father of the same description. Someone who only has time for you when their capricious feelings happen to land on your lucky number. I suspect she chose a sun god because he thinks the world revolves around him. The character “I” in the song would bend over backwards for this entity, but Ra clearly does not reciprocate the devotion.
Mr. Bojangles is supposed to be a feeel-good song but it deeply affects me. i yoochoob two versions: sammy davis jr. wearing an orange tight suit (that whistling at the end made the hair at the back of my neck stand up,) and that ben vereen-edvaard liang-brad anderson song-dance act was awesome.
No, it really isn’t. The song as Cole sings it doesn’t induce tears so much as a general desire to throw yourself off a bridge.
I’ll see your Mozart and raise you the Lacrimosa from Britten’s War Requiem; the Lacrimosa text alternates with Wilfred Owens’ poem “Futility”. By the time the tenor sings “Was it for this the clay grew tall? / O what made fatuous sunbeams toil / To break earth’s sleep at all?” I always have a definite chin wobble going, which is a bit of a problem if I’m supposed to be singing.
Frankly, by the time Mimi dies in Boheme I’m heartily sick of her. That said, the last time I saw it live I surprised myself by bursting into tears at Colline’s aria to his coat, his most prized possession which he is selling to buy medicine for Mimi. The text translates as:
Old Coat, listen,
while I remain here, you must rise to the sacred mount.
My thanks you receive.
You never bent your back to the rich or powerful.
You carried in your pockets, like in calm caverns, philosophers and poets.
Now that the happy days have gone, I say to you: goodbye, my faithful friend.
Goodbye, goodbye.
I’ll also throw in “Elle ne m’aime pas” (“She never loved me”) from Act 4 of Verdi’s Don Carlos. Prefaced by a heartbreaking cello solo, this one just gets me every time. Translation from the French here.
And on a cinematic note, I’m not sure if someone’s already mentioned this but if thisdoesn’t make you cry you are a dead shrivelled husk of a human being.