Dear Jaimie,
I just notice that Didge has mentioned Londonderry Air, and I was thinking of that one also...when I think of sadness I go to the traditional ballads.
Here is PLAISIR D' AMOUR, the incredibly sweet-voice Joan Baez in 1966:
I pick this one then ...
Patches by Dickie Lee
Londonderry Air has to be right up there, but there have been many others.
No list of sad songs would be complete without Pore Judd is Daid from Oklahoma! and who could not be moved by Johnny Ray's dirge, The Little White Cloud that Cried.
Billie Holiday - Strange Fruit.
Elenor Rigby by The Beatles. Also, Pink Floyd's Time makes me feel morbidly depressed.
And I Love Her certainly. Maybe Yesterday or Hey Jude as well. All by The Beatles. Scratch that, In My Life is the saddest Beatles song.
So, I literally HATE this song. I think it's because it is so sad, and I heard it played over and over as a child.
I've always thought "We'll Sing in the Sunshine" (Gale Garnett) was, at its heart, a sad song.