Apologies if either of these have already been mentioned (just discovered this thread).
They're both by Richard Thomson, and they both cause me to weep like a bairn every time I hear them.
Not As We by Alanis Morissette https://www.youtube.com/watch?v=pWxAeQZKEHg
Wide Awake by Chris Cornell https://www.youtube.com/watch?v=KPsY-4E5BXo
Metal Heart by Cat Power https://www.youtube.com/watch?v=KMZZp1L-MH4
Overcome by Live https://www.youtube.com/watch?v=nQrN4Ehu0EU
Cemetery by Silverchair https://www.youtube.com/watch?v=sAlTicRF9zA
One Wing by Wilco https://www.youtube.com/watch?v=bF3pBjPwgtg
Loss by John Frusciante (the whole record is about suicide) https://www.youtube.com/watch?v=AB38UByqHfo
john lennon - beautiful boy
10cc - im not in love
best coast - no one like you, up all night, our deal
camera obscura - desire lines, fifth in line to the throne, williams heart, razzle dazzle rose
elton john - someone saved my life tonight, sacrifice, the one
garbage - the trick is to keep breathing, you look so fine
george michael - careless whisper, i can't make you love me (cover)
gloria estefan - words get in the way
queen - these are the days of our lives, nevermore, bjiou, dear friends, you take my breath away, dont try so hard, too much love will kill you
talking heads - dream operator
the verve - the drugs don't work
oasis - don't go away
genesis - hold on my heart, in too deep
porcupine tree- stop swimming
That hurt by johnny cash is classic. Overtook the original and is better by far.
I want to add Scar tissue. John frusciantes solos in that song give me tears
Yes and Yes! Cash's Hurt and Scar Tissue are both excellent!
Other sad Johnny Cash songs: Desperado (Eagles cover), Bridge Over Troubled Water (another cover!), Give My Love to Rose (actually by Cash!)
While on the subject of John Frusciante and Cash, they collaborated on covers of Heart of Gold and Personal Jesus, which are both good, but not sad.
Favorite sads (YouTube links):
Hymn for the Missing - Red (Probably the saddest here and the best)
MOTHER / by John Lennon
MOTHER YOU HAD ME BUT I NEVER HAD YOU
I WANTED YOU, BUT YOU DIDN'T WANT ME
FATHER YOU LEFT ME BUT I NEVER LEFT YOU
I NEEDED YOU, YOU DIDN'T NEED ME
MAMA DON'T GO, DADDY COME HOME
SO I, I JUST GOTTA TELL YOU, GOODBYE, GOODBYE