I love sad music

@richdirector+1 on the Josienne Clark

+1 to all that mentioned the Górecki.   I can point you to two good recordings of this on LP.  
Henryk Górecki
Symphony No. 3 Opus 36 (1976)
Nonesuch 2016
075597949544 

Recorded May 1991 at CTS Studios, London
Dawn Upshaw Vocals
David Zinman conducting the London Sinfonietta 

This record was mastered by Bernie Grundman

the second is:

Henryk Górecki
Symphony No. 3 (Symphony
   Of Sorrowful Songs) Op. 36
Domino (UK) 2019
887828039517

Beth Gibbons Vocals
Polish National Radio Symphony Orchestra 

Interestingly, Beth Gibbons is the vocalist from the trip hop band Portishead.  If you’re inclined to be nonplussed by that information resist that urge.  
I believe they both have their merits.  
Love this post.  We share this interest.  Please consider adding your experience to the ongoing  “What’s on your turntable” thread on here moderated/led by @slaw 

Looking for Answers by Susan Tedeschi on Just Won't Burn
You Mean So Much to Me by Sea Level on Ball Room
To Be Without You by Ryan Adams on Prisoner
Belief by John Mayer try the Village Sessions
Eva Cassidy Acoustic  f cancer
Chris Cornell  
The Bluest Blues by Alvin Lee

The sound track from the Red Violin - most of it. My wife hates this. 
Dave Mason - Alone Together: World in Changes, Sad And Deep As You. Making me more sad since 1970. 

Pretty much anything by Patsy Cline or George Jones.  Then there’s the whole genre of Blues.  Oh, and anything by Townes  Van Zandt.

I was going mention Leonard Cohen. Good call. Much of Nick Cave's catalogue is melancholy as well.