Almost anything Agalloch or Insomnium. Woods of Ypres too. RIP David.
Although none of those bands are very extreme. I would have a hard time imagining a band that was both extreme and sad.
Also, Moon of my Nights by Kalmah. I might be alone here but I happen to think that song is pretty sad sounding. Old Man by Ensiferum used to make me want to cry for some strange reason--that's a relatively sad sounding song, haha, especially the way it ends.
Oh, actually, a good one would be Blade in the Snow by Whispered. It's fifteen minutes long and it's got a shit ton of different emotions in it, including joy, anger, and, of course, sorrow. It's a crazy epic, crazy good song. If you can, try and listen through the whole thing. I consider it one of the most underrated masterpiece songs in the melodic death metal genre.
Also, I'm sure you've heard this band thousands of times, but Wintersun is probably the most sad and extreme you're going to get without sacrificing either of those two elements. Beautiful Death is a really good song.