Looking for very sad songs.

AC/DC - Ride On
Danzig - Going Down To Die
Danzig - Sistinas
Suicidal Tendencies - How Will I Laugh Tomorrow
Twisted Sister - King Of The Fools
Testament - The Ballad
Iron Maiden - The Evil That Men Do (sad to me)
Motorhead - 1916
Metallica - Dyers Eve

Insane Clown Posse - Nothing's Left - Not metal, but pretty sad and thinking about sad songs got me to thinking about that one. Again, not metal, but hardcore and that's what metal's all about. No?
 
Any stuff by Anathema or My Dying Bride. Premium quality.

Agreed on Warning too. Watching From a Distance is such an awesome album. And if you like it, of course 40 Watt Sun should be a good choice too.

Leaving Eden and Planetary Confinement by Antimatter too.