If we got a saddest movies topic, why not one for sad songs?
It may be because I am a clinically depressive myself, but I am somehow drawn to sad songs. They feel very real, while songs saying life is all going well sound alienating. A song full of emotions is always good, but few manage to describe the feelings of joy and bliss well (exceptions that come into mind are "PS You Rock My World" by Eels, or "Standing" by VNV Nation). A sad song somehow speaks to me more easily, gives a feeling you're not alone with your problem.
Anyways, here's a short list from my side.
Robin Proper Sheppard, both with The God Machine and with his semi-solo project Sophia, is the king when it comes to songs whose lyrics move you so deeply it's hard to prevent tears. His music cuts like a knife, it makes you emotional but it's so beautiful music...
"Where are you now?" (extremely hard to keep eyes dry...)
"Swept back" (dito)
"So slow" (few songs describe so beautifully the feeling of when you're just tired of it all)
"Oh my love"
When it comes to sad songs, The Smiths are essential. They turn sadness into beauty like few others can. One person described it as a pair of arms coming out of the hi-fi, embracing you and saying you're not alone. Very spot on.
"There is a light that never goes out"
"How soon is now?"
Some others that come into mind:
"Run" (Snow Patrol)
"I'll stand by you" (The Pretenders)
"Still I'm sad" (The Yardbirds)
"Leaving" (Anne Clark)
"My immortal" (Evanescence - the last decent song they did)
"Tales from the inverted womb" - Sopor Aeternus & The Ensemble of Shadows
"Everything must go" - Manic Street Preachers
"William's last words" - Manic Street Preachers (who knows the history behind the band will not keep tears from falling while hearing the last lines)
"Illusion" - VNV Nation
"Wings for Marie/10000 Days" - Tool (again, read up the history of the song and it is extrenely moving)
"74/75" - The Connells (maybe nostalgic is a better word than sad, it's somewhere halfway in between)
"The Sparrows and the Nightingales" - Wolfsheim
"Iris" - Goo Goo Dolls
"All we ever wanted was everything" - Bauhaus
"Disorder" - Joy Division
"Too much love will kill you" - Queen
Probably forgetting some which I'll add in a next post. Hope for some recommendations I wasn't familiar with too, I always love to expand my musical collection with new discoveries.
I think it's all subjective. For me, I feel that songs that remind me of sad times in my life make me the saddest. Obviously my experiences and any of yours in life will be entirely different.
I just wanted to listen to "Beloved" by VNV Nation but skipped in the end. For the reason you listed.
Strangely enough, the song "Standing" by the same band reminds me of one of the happiest moments in my life. Strange how two songs by the same band can trigger such extremely different emotions.
Also, while I listed "So Slow" by Sophia (an extremely gloomy song, lyrics-wise), it does not make me sad personally because while I recognise the gloom in it, it gives me a feeling I'm not alone with my depressions. Contrary, songs that remind of one specific moment can make your eyes wet sooner even if their lyrics are not dark when looking at them through neutral view.
Note that I do listen to those songs that remind me of very sad moments, sometimes it's good to just let your emotions flow. And some of those songs are and remain extremely beautiful. But I reserve those for a private place and time rather than to let tears pass in the middle of a crowded place.