damn, its hard to narrow it down to the top 20 saddest songs on my list. love Sting and the Cash track (NIN cover) mentioned above. I thought that Walk the Line should have ended with his version of Hurt. To me, that woulda been the perfect ending to that movie.
anyways, a few off the top of my head:
Black Label Society: Bridge to Cross (esp the guitar solo!)
NIN: The Great Below
Prince: Purple Rain
REM: Country Feedback
Ben Folds Five: Magic
Peter Gabriel: Passion
Toad the Wet Sprocket: Pray Your Gods
Sade: any of a dozen by her, but esp Immigrant and Someone Already Broke my Heart
Joe Satriani: Bamboo
Lisa Gerard: Sacrifice
The Cure: Last Day of Summer
I could go on and on... so many amazingly inspired songs that reach out and just grab you once you venture out of the hard and heavy genres.