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I was listening to Queen's '39 and wanted to make a thread for other sad songs.
Like- "You and me against the world" by space spiders

Metallica - Fade to Black
Nine Inch Nails - Hurt
The Offspring - Gone Away

"Hear You Me" by Jimmy Eat World.

"Toy Soldiers" by Martika

I prefer the Johnny Cash version of Hurt. It's just packed with authenticity. If you don't get moved by that song, you have no heart.

For the rest of them, ignore the videos, they're just crap people have cobbled together, but listen to the songs.

Solitude by Anorexia Nervosa (originally by candlemass) is very sad but awesome at the same time.

For my fallen angel by My Dying Bride is incredibly sad. The first time I heard it, I was down and I felt totally gutted.

And When He Falleth by Theatre of Tragedy is pretty sad.

Crowbar - Existence is Punishment my favourite song by them, very depressed.

Fear Factory - A Therapy for Pain - a song to listen when the rest of the world is silent and still.

Jesu - Silver some of the most pleasant sad metal ever made. Uplifting but melancholic. Great stuff.

"Fiddler on the Green" by Demons and Wizards. Can't beat a song about Death screwing up and trying to set things right. Very Gaiman-esque.

Pontiac and Simple Song, both by Lyle Lovette
Mary Chapin Carpenter's version of 10,000 miles.

Connie Francis, I Will Wait For You

Guns N' Roses - Use Your Illusion, the love song trilogy is excellent. Don't Cry is lovely, November Rain is epic, and Estranged... well, it's one of the most underrated and greatest songs ever, IMO. For me especially, the last two have a very succinct personal connection, which makes them even better.

The Great Gig in the Sky by Pink Floyd is utterly excellent, though it's really in it's best when heard as part of the whole album. The same goes for much of The Wall, particularly the second half (Hey You and Bring the Boys Back Home/Comfortably Numb being the stand-out sad ones).

Under Pressure by Queen and Bowie isn't really heavily sad, but it gets me nice and reflective. This also applies to "Heroes" by Bowie, Happy Christmas by Lennon, Little Wing by Hendrix and quite a bit of The Doors.

Ruby Tuesday by the Stones, Eleanor Rigby and A Day in the Life by The Beatles, Behind Blue Eyes by The Who and Wasted Time by Skid Row (shockingly moving, this one) are also amazing.

But really the one that utterly dominates this list is the ultimate sad and yearning song: Eric Clapton's Layla. I don't cry a lot, but when I saw him play this song in concert, I just couldn't contain myself.

Tears in Heaven by Eric Clapton

"Blue" and "Call Me Call Me" by The Seatbelts.
"Civil War" by Guns 'N' Roses.
"Into the West", sung by Annie Lennox, on the LOTR: ROTK soundtrack.

To chime in with another Yoko Kanno track: the acoustic version of "VOICES" from Macross Plus, which is sung much more softly and with only piano accompaniment compared to the regular version.

Additionally, "Opening of Dream" from the last act of End of Eva, by Shiro Sagisu. A slow, short piano piece that has a sad, gentle tone of finality.

I've been rather fond of Judy Collins' "Albatross" for a while.

"Green Fields of France". The version by Dropkick Murphy's

Hawkwings wrote:Connie Francis, I Will Wait For You

That songs always brings up memories of longing and regret deep down inside of me....

Anyways, off the top of my head without mentioning ones already said..

Thin Lizzy - Parisienne Walkways
Jimi Hendrix - Red House

Kilkelly, with the version by The Green Fields of America being the best one. One of only two songs which can bring me close to tears. The other one being Hatikvah.

"Ben's Song" by Sarah McLachlan. This very sad song features fading echos of piano notes at the end, somethng I find particularly haunting.

"Desperado" The Eagles

I'll second "Green Fields of France" aka "Johnny McBride", as well as "Kilkelly".

I'll add the Coal Miner's Lament, The Fisherman's Song, and Long Black Veil

Thought of another one: Castles Made of Sand-Jimi Hendrix

I would say country has the best sad songs:

They sycamore tree by: Paul Brandt
I lie by: Jason McCoy
Best I ever had by: Gary Allen
There is a lot more but I can’t seem to think of them, or find them on my playlist. I cant say I have a lot or any sad rock or metal songs, plus I don’t think I have ever heard a sad metal song

edited for cleanliness

Some Australian examples:

One Crowded Hour - Augie March.
Number one on the 2007 Hottest 100 countdown, done by non-commercial Triple J FM as voted by the nationwide public. A story about a guy who discovers that he has a child as a result of a one night stand.

"I thought I had found my golden september in the middle of that purple june, but one crowded hour would lead to my rack and ruin."

Khe Shan - Cold Chisel.
Upbeat instrumentals contrasting the sad story of a vietnam vet. What's really sad about this song is that jocks like it as a sporting anthem, but probably don't really understand the song. I always find it a haunting little tale.

"And carparks made me jumpy, but i never stopped the dream for the growing need of speed and novacaine."

Ooh, I thought of another one. "The Two Brothers" (I think that's the title), by The Cottars.

'Love Song for a Vampire' by Annie Lennox.
'Learn to be lonely' by Minnie Driver.
'This used to be my playground' by Madonna.

Sevendust: Angel's Son and Alice in Chains: Down in a Hole.

Elliott Smith: Waltz #2
The National: All the Wine
Rilo Kiley: A Man / Me / Then Jim