johnny cash - hurt
jeff buckley - last goodbye

The only girl I've ever loved
Was born with roses in her eyes
But then they buried her alive
One evening 1945
With just her sister at her side
And only weeks before the guns
All came and rained on everyone

The song itself isn't very sad, and their entire first album is pretty light stuff. In The aeroplane's only sad part of the time.

She will be loved - Maroon 5.
That's some pretty sad sh*t.

All right, 2 things to get out of my chest, Led Zeppelin did not write Babe I'm Gonna Leave You, Anne Bredon did and it was first covered by Joan Baez (although some people hate that version). Neither did Jeff Buckley write Hallelujah, although his cover is excellent, Leonard Cohen wrote it.

As for my choices:

Tears In Heaven, The Circus Has Left Town - Clapton (come on, songs about his dead 5 years old son? you can't beat that kind of sadness)
If It Be Your Will - Leonard Cohen (although some of the previously mentionned choices are just as adequate)
And a couple of Tom Waits, for sure, Road To Peace and Ruby's Arms are the first that come to my mind.

Pieces
 

Pieces by Red is depressing as hell but is probably the best song i have ever heard

Yeah, who the are you to decide what's sad and what isn't. Just cause something isn't sad for you doesn't mean it won't be for someone else.

Not just that I don't understand how you can't find Two Headed Boy Part II sad.

Huh? I said that? Oh, confused the lyrics...I stand by my original point that the album as a whole is cheerful more often than not, and the first album entirely so.

Mother - John Lennon

Lamenting about his lost mother and his deadbeat father that left him. Very sad and amazing song.

edit:
Amen. Tears in Heaven makes me feel eternal sympathy for Clapton.