Celes' Theme from FFVI. While the Opera theme is sad but romantic, Celes' version is quieter, slower, and just feels more heart wrenchin, being played only twice during moments she was under emotional stress doesn't help either.

Gau's theme is also very melancholic, befitting his backstory more than his upbeat personality.

Honestly, a lot of tracks from VI feel a bit more sad to me than some of the other games.