Sad songs- We love them- We need them

+1 for Bonnie Raitt's "I Can't Make You Love Me" and Warren Zevon's "Accidentally Like  A Martyr". They were at the top of my list. 

Here are a couple more including a few covers I prefer to the originals:

Nils Lofgren- "Little On Up", "I Don't Want to Know", "Moon Tears"

Ricki Lee Jones- "Walk Away Renee"

Jennifer Warnes (and Leonard Cohen)-  "Joan of Arc"

Vanilla Fudge- "You Keep Me Hangin' On"

Neil Young- "The Needle and the Damage Done", "Old Man", "Down By the River"

Bloodrock- "D.O.A."

The English Beat- "Can't Get Used to Losing You", "Tears of a Clown" (I love Smokey, but this a great cover of his song).

Smokey Robinson- "Tracks of My Tears"

The Weavers- "Ramblin' Boy"

Joe Cocker- "With a Little Help from My Friends"

Old, but the best.  Frank Sinatra's album "Only the Lonely."

"Everybody Hurts"  REM

@immatthewj 

"Everybody Hurts"  REM

This one and "Sweetness Follows." Really struck home when my father died. 

I'm amazed that I am the first one to respond to this post with a "classical music" response, but here it is.  Gustav Mahler's "Kindertotenlieder" - "Songs on the Death of Children".  His loss is so great that he can envision the lost child entering his room.  Now, THAT is sad !  Mahler lost a daughter and the librettist lost two children before the work was written.