counting crows- colorblind
eels- 3 speed
eels- its a motherf*cker
green day- give me novocaine

Martin Grech- Guiltless. very radiohead meets NIN..pretty dark.

I agree with a couple I have seen such as:
Counting Crows: Colorblind (awesome tune)
The verve: Freshmen (Tongue tied and twisted with my head on the floor?)

Both of those are great picks and here are some of my votes:

Nothing says sadness like.... Hey, Hey, my, my: Neil Young
The cure: A Thousand hours
Tracy Chapman: Fast car

And for some reason this song grabs me pretty harsh: Vincent....by Don Mclean (sp?)

Hope you enjoy these songs if you did not previously know or dislike them..their good listening!

Peace out!
Koven

Can I suggest 'She Knows Love' by onnie Munro?

I find that song very sad, but I have a bit of a story attatched, but none the less I think it is a bit sad, in places...

Oh, Taste you-Melissa Auf De Maur

Tears in Heaven - Eric Clapton
Everybody Hurts - REM
Something I Can Never Have - NIN
Cats in the Cradle - Harry Chaplain
Goodbye to Romance - Ozzy Osbourne
Nothing Compares 2 U - Sinead O'Conner

johnny cash - hurt! even sader with the vid

Bush has some reasonably sad songs. Not necessarily the lyrics but just the mood the songs put out. "Letting the Cables Sleep" and "Wild Horses" are good ones. Wild horses is actually a Rolling Stones cover.

guns n roses do a good version of wild horses.

walking after you- foo fighters