Suteki Da Ne is a pretty sad song, I agree. And FFVI has a pretty sombre soundtrack all round, so it's hard to choose just one from that game.

I'll suggest 'Servants of the Mountain', from Final Fantasy X. The theme played in Mt. Gagazet, it sort of captures the solitude the Ronso exhibit, the stark weather, the near completion of the pilgrimage (the headstones on the mountain kinda add to the melancholy) and the massacre to come.

I know it was remastered in the HD edition, and I prefer that version, so here you go: