Heres a few for you

Joy Division - The Eternal
Biffy Clyro - Pause It And Turn It Up
The Cure - The Same Deep Water As You
Jeff Buckley - Lover, You Should Have Come Over
Jeff Buckley - Forget Her
Radiohead - No Surprises

Joel Plaskett - Light of the moon
Vashti Bunyan - Train song
Leonard Cohen - Chelsea Hotel No. 2
Black Heart Procession - Light so dim
Daniel Johnson - True love will find you in the end
Elliott Smith - Between the bars/Twilight
Nirvana - Do Re Mi (chilling - mainly because it was the last song he recorded and it reads like an epitaph)
Joy Division - Atmosphere
Gary Jules - Mad World (Tears For Fears cover)
The Mars Volta - Asilos Magdalena
Julie London - Cry me a river
Leonard Cohen - Stranger Song
Smashing Pumpkins - Thirty-three
Eric's Trip - Stove
The Beatles - Blackbird
The Velvet Underground - Perfect Day

You guys kept mentioning sad Radiohead songs and not Creep, I'm wondering why is that?

Because the tone of the version on Pablo Honey just sounds like typical 90's rock with self loathing lyrics, but the acoustic version is actually pretty beautiful.

If it was so typical for its time, why was British radio hesitant to play it because of how damn depressing it was? It was one of the first of it's kind, and it strikes chords with a lot of people, including me. It takes music AND lyrics to get me sad, and Creep achieves that.

Because the British radio were use to Britpop songs like "Wonderwall" by Oasis. But in the states its sounded like everything else that was happening with the grunge scene.

A lot of grunge is sad too :P

I think that was his point.

Yes, but my point was that just because it was part of a grunge "sad song" movement doesn't make it any less potent.

I have to agree that "Creep" doesn't strike me as a sad song....especially the album version....the chorus is too resounding to really draw you in....it's more of a "loser" anthem than a sad song imo.