Listed in no particular order are some of the saddest songs I personally have heard.
Within Temptation - Our Farewell
Within Temptation - Bittersweet
Kansas - Dust In The Wind
Sopor Aternus - Hello
Coldplay - Clocks
Janel Parrish - Rainy Day
Christina Perri - The Lonely
Rammstein - Wo Bist Du
Lethian Dreams - White Gold
Data Romance - The Deep
Guns n Roses - Knocking on Heaven's Door
Greg Laswell - Your Ghost
Alex Parks - Mad World
Kate Voegele - Hallelujah
Black Veil Brides - You're Not Alone
Blue October - Hate Me
Skeeter Davis - End Of The World
Blackfoot - Morning Dew
Mortal Love - I Just Wanna Die
Tarja - You Would Have Loved This
The Sounds - Midnight Sun
Sarah McLachlan - Sweet Surrender
Sarah McLachlan - Fallen
Fort Minor - Where'd You Go
Delta Spirit - Vivian
Kelly Clarkson - Because Of You
Death Cab For Cutie - Soul Meets Body
Greenday - Wake Me Up When September Ends
t.A.T.u. - Gomenasai
Love Solfage - 無神論者のためのセレナータ
Seungri - Come To My
Seungri - Gotta Talk To You
BOTDF - Libertine
Eminem - Stan
Dido - Thank You
Eminem - Toy Soilders
Nina Nesbitt - The Funeral
Avril Lavinge - When You're Gone
Within Temptation - Memories
Leon Somov & Jazzu - Lower Than The Ground
Evanescence - My Immortal
Evanescence - Lithium
Linkin Park - In The End
Indica - In Passing
Sirenia - Sumerian Haze
Seether - Broken
Evanescence - Listen To The Rain
Flowing Tears - The One Who Drowned
Flowing Tears - Serpentine
Katra - Vaaratarr
Circa Survive - Spirit Of The Stairwell
BOTDF - Mourning Star
The Delgados - The Light Before We Land
t.A.T.u. - All The Things She Said (Ballad Remix)
Evanescence - My Heart Is Broken
Blutengel - Seelenschmerz
Moby - Porcelain
Sia - Big Girls Cry
Dan Balan и Вера Брежнева - Лепестками слез
Вера Брежнева - Sexy Bambina
Brighter - British Summertime
Taylor Swift - Cold As You
Bic Runga - Drive
10 Years - So This Is Goodbye
Five For Fighting - 100 Years
Radiohead - Nude
Gems - All I Ever
Eurythmics - I Saved The World Today
Sarah McLachlan - When She Loved Me
Sarah McLachlan - Angel
The Lovecrave - Can You Hear Me
MXMX - OMG
Mylene Farmer - California
Oleander - Runaway Train
Angel Olsen - Windows
Decemberists - Summer Song
Superchick - Courage
Dir En Grey - Ain't Afraid To Die
Tim McGraw - Live Like You Were Dyin
Theater Of Tragedy - Venus
Xandira - Rose On The Grave Of Love
Leaves Eyes - Into Your Light
Arash - One Day
Kristina - Viem Lebo Viem
John Conlee - Rose Colored Glasses
Zun - Come Through The Water
Missy Higgens - Where I Stood
Angel Olsen - White Fire
Mimi Page - Porciline
Mimi Page - Self Esteem
Fiona Apple - Oh Sailor
Brooke - Hymn
Pink Floyd - Breathe
Pink Floyd - Brain Damage
Manntra - Saga
Eels - I Need Some Sleep
Charlie XCX - Set Me Free
Mudflow - Sense Of Me
Blood Wolf - Empty Cradles
Brad Paisley - Whisky Lullaby
Regi - Should Have Been There
Zeds Dead & Omar Linx - You & I
Thirteen Senses - Into The Fire
Greg Laswell - Off I Go
Kate Havnevik - Nowhere Warm
Riley Green - I Wish Grandpas Never Died
Within Temptation - Our Farewell
Within Temptation - Bittersweet
Kansas - Dust In The Wind
Sopor Aternus - Hello
Coldplay - Clocks
Janel Parrish - Rainy Day
Christina Perri - The Lonely
Rammstein - Wo Bist Du
Lethian Dreams - White Gold
Data Romance - The Deep
Guns n Roses - Knocking on Heaven's Door
Greg Laswell - Your Ghost
Alex Parks - Mad World
Kate Voegele - Hallelujah
Black Veil Brides - You're Not Alone
Blue October - Hate Me
Skeeter Davis - End Of The World
Blackfoot - Morning Dew
Mortal Love - I Just Wanna Die
Tarja - You Would Have Loved This
The Sounds - Midnight Sun
Sarah McLachlan - Sweet Surrender
Sarah McLachlan - Fallen
Fort Minor - Where'd You Go
Delta Spirit - Vivian
Kelly Clarkson - Because Of You
Death Cab For Cutie - Soul Meets Body
Greenday - Wake Me Up When September Ends
t.A.T.u. - Gomenasai
Love Solfage - 無神論者のためのセレナータ
Seungri - Come To My
Seungri - Gotta Talk To You
BOTDF - Libertine
Eminem - Stan
Dido - Thank You
Eminem - Toy Soilders
Nina Nesbitt - The Funeral
Avril Lavinge - When You're Gone
Within Temptation - Memories
Leon Somov & Jazzu - Lower Than The Ground
Evanescence - My Immortal
Evanescence - Lithium
Linkin Park - In The End
Indica - In Passing
Sirenia - Sumerian Haze
Seether - Broken
Evanescence - Listen To The Rain
Flowing Tears - The One Who Drowned
Flowing Tears - Serpentine
Katra - Vaaratarr
Circa Survive - Spirit Of The Stairwell
BOTDF - Mourning Star
The Delgados - The Light Before We Land
t.A.T.u. - All The Things She Said (Ballad Remix)
Evanescence - My Heart Is Broken
Blutengel - Seelenschmerz
Moby - Porcelain
Sia - Big Girls Cry
Dan Balan и Вера Брежнева - Лепестками слез
Вера Брежнева - Sexy Bambina
Brighter - British Summertime
Taylor Swift - Cold As You
Bic Runga - Drive
10 Years - So This Is Goodbye
Five For Fighting - 100 Years
Radiohead - Nude
Gems - All I Ever
Eurythmics - I Saved The World Today
Sarah McLachlan - When She Loved Me
Sarah McLachlan - Angel
The Lovecrave - Can You Hear Me
MXMX - OMG
Mylene Farmer - California
Oleander - Runaway Train
Angel Olsen - Windows
Decemberists - Summer Song
Superchick - Courage
Dir En Grey - Ain't Afraid To Die
Tim McGraw - Live Like You Were Dyin
Theater Of Tragedy - Venus
Xandira - Rose On The Grave Of Love
Leaves Eyes - Into Your Light
Arash - One Day
Kristina - Viem Lebo Viem
John Conlee - Rose Colored Glasses
Zun - Come Through The Water
Missy Higgens - Where I Stood
Angel Olsen - White Fire
Mimi Page - Porciline
Mimi Page - Self Esteem
Fiona Apple - Oh Sailor
Brooke - Hymn
Pink Floyd - Breathe
Pink Floyd - Brain Damage
Manntra - Saga
Eels - I Need Some Sleep
Charlie XCX - Set Me Free
Mudflow - Sense Of Me
Blood Wolf - Empty Cradles
Brad Paisley - Whisky Lullaby
Regi - Should Have Been There
Zeds Dead & Omar Linx - You & I
Thirteen Senses - Into The Fire
Greg Laswell - Off I Go
Kate Havnevik - Nowhere Warm
Riley Green - I Wish Grandpas Never Died