There are so many - music + sad is pretty synonymous.
I think Nina Simone has risen to the top for me in that dark doomed feeling where it goes beyond just sad.
Her haunting voice and incredible musical talent puts her up with the best of any genre IMO.
The one song that brings me to a dark place more than any other is Nina's Lilac Wine
after that would be - Little Girl Blue
Also, Beethoven's String Quartet #7 (opus 130) Cavatina. It's about as candid as classical music gets. In a word, human. The music changes Just after the half way point where one of the violins sounds like its crying. That moment might be at the pinnacle of humanity and sadness for me in all of music
If you like this, I'd also recommend checking out the Lindsey's version.
I've shamelessly used this thread to plug my top songs, but most depressing album of all time is