"Something in the Way" by Nirvana is one of the saddest songs I've ever heard.

Here's producer Butch Vig talking about how sad the song is.

Other sad songs:
"Death to Birth" by Pagoda
"Mad World" by Gary Jules
"Polly" by Nirvana
"Baby I'm gonna Leave you" by Led Zeppelin
"Since I've been loving you" by Led Zeppelin