---The Ending theme for FFX. It makes me cry not exactly because it's sad, but because I think it's beautiful, and what's going on while it's playing.
---Drown, from Limp Bizkit. I always end up listening to it when i'm in my room, on my bed, really depressed. It fits my mood perfectly, and I have it on repeat for hours.

Hmm, that's all I can come up with for now, but I know that there's more.

EDIT: Gollum's Theme makes me sad, whenever I hear it, because of the character that he is.
---Anything of the songs with voices from LOTR. A lot of them, to e, are beautiful, but depressing to listen to.