I don't think Joy Division or Nick Drake ever struck me as particularly sad just because Ian Curtis and Nick Drake suffered untimely deaths, it would be like suggesting Nirvana made sad music. Even Elliott Smith's music doesn't really connote sadness to me. Of course, if by "saddest album" you're referring to an album played largely in minor keys, there's a superfluity of those, David Bowie's Low, for example. (It's kind of a cheap songwriting trick to hijack a listener's emotions, usually finding its way onto the album closer).
The most evocative musicians I can think of were people like Daniel Johnston and Mark Linkous -- gifted songwriters whose material revolved around their own insular worlds. Sparklehorse's It's a Wonderful Life pretty much hits the nail on the head for me.
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