oasis - stop crying your heart out
simon and garfunkel - sound of silence
bedouin soundclash - shadow of a man
modest mouse - bankrupt on selling
modest mouse - blame it on the tetons
the verve - the drugs don't work
everclear - the drama king

Klaus Schulze's album Irrlicht probably takes the cake for the most moving album I have heard, even if it isn't necessarily sad... just very powerful. Depressing-wise, basically any output by Red House Painters, particularly Medicine Bottle and Katy Song. Personally, The Narrow Way pt. III by Pink Floyd sounds like the saddest song of all time to me.

Nobuo Uematsu's Aeris' Theme is to me one of the saddest orchestral compositions. Maybe because I have so much nostalgia for FF7, but I think everyone that's played it has some sort of connection to that song.

ANYTHING by neutral milk hotel, and i definitely agree with whoever said the whole Pink Moon album by Nick Drake

personal choice though: Exit Music - Radiohead

Neutral Milk Hotel isn't even sad...Dirt In The Ground-Tom Waits.

well Aeroplane is about how mangum wishes he could somehow meet and save anne frank, so i mean, that's not exactly a happy tone, even if you don't think its the saddest

shawn lane has a pretty sad story. here is one he wrote for his dead sis I think.
YouTube - Shawn Lane - Epilogue for Lisa (from MIT - 5th Feb 93)
(i like anne frank?)

Names by Cat Power bums me out quite a bit.

His name was Perry
He had a learning difficulty
His father was a very mean man
His father burned his skin
His father send him to his death
He was ten years old
He was ten years old
He was ten years old

Her name was Naomi
Beautiful round face, so ashamed
Told me how to please a man
After school in the back of a bus
She was doing it every day
She was eleven years old
She was eleven years old
She was eleven years old

Her name was Sheryl
Black hair, like an electric space
She would pretty paint my face
She was a very good friend
Her father would come to her in the night
She was twelve years old
She was twelve years old
She was twelve years old

His name was Donovan
He was a very good friend
The cards were stacked against him
He was selling cocaine
The last time I saw him
He was thirteen years old
He was thirteen years old
He was thirteen years old

His name was Charles
He said he was in love with me
We were both fourteen
Then I had to move away
Then he begin to smoke crack
Then he had to sell ass
I don't know where he is
I don't know where they are

I think that's why she's called sadcore. ;)

lawl? NMH can easily be classed as melancholy.