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 バラ - 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 愛 - I Just Wanna Die
Tarja...

(I miss you, I miss you)
Hello there, the エンジェル from my nightmare
The shadow in the background of the morgue
The unsuspecting victim of darkness in the valley
We can live like Jack and Sally if we want
Where あなた can always find me
We'll have ハロウィン on Christmas
And in the night we'll wish this never ends
We'll wish this never ends

(I miss you, I miss you)
(I miss you, I miss you)

Where are あなた and I'm so sorry
I cannot sleep I cannot dream tonight
I need somebody and always
This sick strange darkness
Comes creeping on so haunting every time
And as I stared I counted
Webs from all the spiders
Catching things...

The world seems not the same
though I know nothing has changed
It´s all my state of mind
I can´t leave it all behind
Have to stand up to be stronger
Have to try to break free
from the thoughts in my mind
use the time that I have
I can´t say goodbye
Have to make it right

Have to fight cause I know
in the end it´s worthwhile
that the pain that I feel slowly fades away
It will be alright.

I know, should realize
Time is precious, it is worthwhile
Despite how I feel inside
Have to trust it´ll be all right
Have to stand up to be stronger
I have to try to break free
from the thoughts in my mind
use the...