Listed in no particular order are some of the saddest songs I personally have heard.

Within Temptation - Our Farewell
Within Temptation - Bittersweet
Kansas - Dust In The Wind
Sopor Aternus - Hello
Coldplay - Clocks
Janel Parrish - Rainy Day
Christina Perri - The Lonely
Rammstein - Wo Bist Du
Lethian Dreams - White Gold
Data Romance - The Deep
Guns n Roses - Knocking on Heaven's Door
Greg Laswell - Your Ghost
Alex Parks - Mad World
Kate Voegele - Hallelujah
Black Veil Brides - You're Not Alone
Blue October - Hate Me
Skeeter Davis - End Of The World
Blackfoot - Morning Dew
Mortal Love - I Just Wanna Die
Tarja...