I’ve written this in another thread somewhere, but “Ashokan Farewell” from The Civil War soundtrack (the Ken Burns PBS program).
Where Did You Sleep Last Night either Leadbelly or Nirvana’s cover
Black by Pearl Jam
All I Want Is You by U2.
When I’m Gone by 3 Doors Down, for the chorus:
So hold me when I’m here
Right me when I’m wrong
Hold me when I’m scared
And love me when I’m gone
Everything I am
And everything in me
Wants to be the one you wanted me to be
I’ll never let you down
Even if I could
I’d give up everything
If only for your good
So hold me when I’m here
Right me when I’m wrong
Hold me when I’m scared
You won’t always be there
So love me when I’m gone
Love me when I’m gone
I agree with you on Cat’s in the Cradle, Joel, but what about Father & Son, that’s another one that gets the lump in my throat. Let me also add She’s Leaving Home, by the Beatles, it says so much with so few words.
“Long Long Time” by Linda Ronstadt. I heard her perform it live at Saratoga back in the late 70s, and when there was a catch in her voice at the end, you could see half the audience start to cry.
Father and Son, that doesn’t sound familiar.
If it’s the same song I’m thinking of, it’s a sort of inner dialogue between a father and a son. There’s no real communication, just their thoughts on the other one and how they can’t get past their expectations of one another.
Oh, and it’s performed by Cat Stevens.
Ashokan Farewell is definitely a tearjerker, especially with the Sullivan Ballou letter read over it.
Every Breath You Take, the rap remix, gets me because it was playing the summer the first year my friends and I lost a companion of our own age (7th Grade at the time).
I recently heard an india.arie song that made me misty. It’s called “Good Man.” A verse and the chorus:
Two eyes looking up at me, pointing to the picture like, “Where is he?”
“Mama, are you okay? What did the paper say to make you cry that way?”
“It said that your daddy lived for you, and your daddy died for you, and I’d do the same.”
Baby, if the sun comes up and I’m not here, be strong.
If I’m not beside you, do your best to carry on.
Tell the kids about me when they’re old enough to understand,
And tell them that their daddy was a good man.
My votes are-
“I know it’s over”-the Smiths
“Love will tear us apart”-Joy Division
“Cry for a shadow”-Beat Happening
I’m such a geek. My vote goes to Rikki’s “Suteki da ne”.
But “me and a gun” takes 2nd place.
An old Peggy Lee song, Is That All There Is?, always brought me down. It was the late sixties and I was newly divorced and depressed anyway. Now that I’ve dredged up that memory, the damned song will be buzzing in my head all night. Thanks a lot, Bjork! 
Tim Buckley, Song to the Siren. Especially when he sings “touch me not, touch me not, come back tomorrow…”
Neutral Milk Hotel, Two Headed Boy Pt Two.
Radiohead, Like Spinning Plates, seen live. “Our bodies floating down the muddy river…”
Oh, I forgot the barrel of laughs that is radiohead. I don’t remember the title of the song … it’s on the OK COMPUTER album.
“and you can laugh your spineless laugh … we hope your rules and wisdom choke you”
Ok, here are my votes:
First, I agree with “And the band played Waltzing Matilda” and Pearl Jam’s “Black”.
Then I have to add these:
“Sometimes in Winter” by Blood, Sweat, and Tears
and “Perfect Day” by Lou Reed. That one isn’t really sad, but ever since I saw Trainspotting, that song just puts me into a depression every time I hear it.
Tears in Heaven by Eric Clapton always gets me.
I Don’t Call Him Daddy by Doug Supernaw
And I don’t know the name, but the song sung by Sally in The Nightmare Before Christmas when she is pining for Jack is so beautifully melancholy and sad.
I was going to come in here and say “Leaving on a jetplane”.
Good pick Bjork.
I think that Cat Power deserves a lifetime achievement award in this category… her saddest songs, IMHO are:
Maybe Not
Colors and the Kids
Water and Air
Good Woman
Ice Water
She is right at the top of the list when it’s time for me to sit around and feel sorry for myself while listening to music. I saw her live and it was wonderful… but really painful. Like, wow, that hurt.
LC
That’s probably why few have heard of it, but I agree that “Father and Son” is one of the saddest songs I know. What’s especially heartbreaking is that neither one of them is wrong, but they cannot see the other has valid points, too.
That’s Exit Music (For A Film) - Written for the mid 90’s version of Romeo and Juliet.
I think that Radiohead’s Steet Spirit (Fade Out) takes the cake.
“I can feel death, can see it’s beady eyes.”
I read a quote in Blender Magazine (I think) that said something to the effect of: “I am not sure if I am depressed because I listen to Radiohead or I listen to Radiohead because I am depressed”.
FYI, only a few months to the release of their next album.
Speaking of radiohead/romeo&juliet/depressing, what about “talk show host”?
Gad, this could go on forever.
He Stopped loving her today-George Jones