I don't really agree with you there Eirik...Undertow is suicidal if you ask me,rather than sad...
But there's definitely tons of sad ones for me in the PoS catalog. These days,People Passing By,Revival and To The End are the saddest ones for now...
I'll be the 3rd to say that Heartattack In A Lay By is sad sad sad...I always listen to it when we're coming back from an away soccer game. It does wonders.
Sort of a list here:
Pantera - Hollow is sad as hell.
Opeths' Harvest is just terrible,if you know what I mean.
Demons & Wizards - Fiddler On The Green...sad story behind it.
My Dying Bride - The Light At The End Of The World
Nightwish - Dead Boy's Poem
Queensryche - Electric Requiem - very to the point.
There'd be lots of them,but those are some of the high points...