Roads by Portishead.

Always puts be in a sad place.

I would just like to see them live to be honest. Be it in my mums back garden with my mum asking who they were, my funeral (though i dont quite see how that would work) or generally just anywhere.

Ho Hum.

And do you reckon if you were a mega fan of any band, and you died, and your partner/parents or whoever was playing your funeral wrote to them and asked to play your all time favourite song, they would?

Depeche Mode - Somebody

West life - you raise me up.

Did we move onto the other meaning for sad?
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Glad someone laughed as I get the feeling I'll regret that.

Manic Street Preachers - roses in the hospital
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The Beautiful South - I'll Sail This Ship Alone
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And So It Goes – Billy Joel
(Chilcott's arrangement for the King's Singers is rather good)

Also, though not strictly a song:
Nefeli – Ludovico Einaudi
http://uk.youtube.com/watch?v=nXXNwDYqA10

Tears in Heaven, Eric Clapton.
His 5 year old son, Connor fell from a window 56 stories up and this song his dedicated to his memory.

Possibly "Love Will Tear Us Apart" by Joy Division.