Going for one that hasn't been mentioned yet, but I'll give it to Epitaph from FFVI. Not only is it played during a heartbreaking moment where Setzer talks about losing the person most valuable to him but the theme itself is a melancholic arrangement of his theme itself. It's difficult to imagine such an upbeat track such as this:



Being transformed into this:



It just kind of shows off a greater depth for the character.

Forever Rachel is another really tragic theme.



Awakening is another good melancholic track that usually plays in the moments Terra is filled with doubt. Again, like Setzer's theme is possesses a more melancholic call back to her own theme.



Nostalgia from Final Fantasy V is also a great if underappreciated track of sorrow.



Home Sweet Home is another good and tender song. It's the theme of Bartz hometown but the theme is neither comforting or jolly. Instead it's bittersweet which is how Bartz must see the home he watched his parents die and eventually abandoned to become a wanderer of the earth.



Aria's Theme from Final Fantasy III, which is also the overworld map theme when you first enter the submerged world. The theme speaks of her solitary existence as one of the few remaining people left on the surface world who couldn't escape to the Floating Continent. The fact that she dies protecting the first people she is able to see and speak of in years I always felt spoke droves about her character.