O'Children by Nick Cave. It's very beautiful, deep, and sad. Somewhat like a gospel. It always gets me lol. I'm listening to It now lol.

My Will is Good by Port O'Brien is pretty sad.

Time In A Bottle by Jim Croce is heart wrenching. Just the thought that once you finally find what you love, you don't have time for it. Even more sad considering he dead very young.

To me, Richard Marx - I'll Be Right Here Waiting For You is a very sad song...

Dashboard's Remember to Breath...forever a song that will hit so hard. So beautiful.

Creep by Radiohead!
 

Does that count?

Tim McGraw - Lay Me Down

"The saddest"? I don't know. But pretty damn sad..

Ill always love the song "Jealous Guy" by John Lennon

Radiohead- no surprises
Radiohead-Videotape

'Blood' by The Middle East

The Smashing Pumpkins cover of Fleetwood Mac's "Landslide."