I haven't actually cried to a song in awhile, but these make me sad:
Wearing the Inside Out - Pink Floyd
Learning to Fly - Pink Floyd
Mother - Pink Floyd
High Hopes - Pink Floyd
(ok pretty much all of Pink Floyd's Division Bell, and most of the Wall.)
Somebody to Love - Queen
Carry That Weight - The Beatles
Mad World (Gary Jules's version. Its much more depressing)
Paint it Black - Rolling Stones.

And the last song to make me cry:
Nobody Home - Pink Floyd