Well...
There is an unofficial, "saddest song ever", I read an article about it recently, is called "Gloomy Sunday" by some Hungarian guy called Seress.
It was wrote in the 30's and is about the break up of a relationship, over the years many people have heard it and commited suicide as a result, even the singer of the song committed suicide.
It was banned in UK for a time for fear of mass suicides.
But scary shit, not metal of course, but an answer to your question.
You can read about it and other strange things at this link
http://www.bizarremag.com/ask/rock.php
But as for Metal I'd say.
Sentenced - Bitterness & Joy
Anathema - J'ai Fait Une Promesse
In some way I find ManOwaR - Courage slightly depressing, but the song has a mix of emotions, it's like sad, but looking forward.