Way too much Final Fantasy stuff, so that's gonna go without saying. Breath of Fire II: Memories is a great sad song. I can't remember all the sad songs in that game, but I know it has one hell of a soundtrack, and a slew of deaths. FFIV could have matched it's emotional tragedies if not for the ending. I always try to get the sad ending for BoF2 because it's a lot more emotional and fitting for the story.