Nobody Knows by Tony Rich Project.

Scream - Echobelly

I'm too sexy by right said fred. That's quite sad.

Guns N' Roses- November Rain
Sinead O Connor- Nothing Compares 2 U
My Chemical Romance- Cancer
Eric Clapton- Tears in Heaven
Sarah MacLachlan- Angel
Eric Carmen- All By Myself
Rent Soundtrack- I'll Cover You Reprise (makes me tear up everytime)

everything but the girl-missing,delerium-silence,eltonjohn -candle in the wind,william orbit-adagio for strings,way out west-ajare and a few tracks by dido.

Reaching Out From Here - The Boo Radleys

Creep - Radiohead
Wicked Game - Chris Issak
Yellow - Coldplay
love song for A vampire - annie lennox
Somebody Kill Me (The Wedding Singer) - Adam Sandler

Picture by Kid rock and sheryl crow
also fields of gold by Eva Cassidy

Fur Elise by Beethoven
Any song from the Covers Album by Cat Power - great album!
Misguided Angel - Cowboy Junkies
Fields of Gold - Eva Cassidy - oh my god, listening to it now. she's dead and it's all so sad
Paris Texas - Ry Cooder

Melancholy music for me is the most powerful
It stimulates catharsis, in a way that jolly music just cannot do.

this song kills me everytime!

http://www.youtube.com/watch?v=klojgiw1ERM

Seen some good ones around here...
I'd say:
Rosana - Y por mas (a lovely spanish song)
Damien Rice - Blower's Daughter
Toni Braxton - How could an angel break my heart
Richard Marx - One more time

Another one would be Uncle Sam & Boyz II Men - I don't ever want to see you again

If your talking saddest love song then lyrics wise I would say
Dusty Springfields - You dont have to say you love me.

http://www.lyricsfreak.com/d/dusty+springfield/you+dont+have+to+say+you+love+me_20044060.html

James Blunt songs don’t make any sense lyric wise and are mostly crap. Example the whining Your Beautiful song he claims in one verse one that " But I won't lose no sleep on that, 'Cause I've got a plan" however by the time he has reached the chourus"And I don't know what to do,
'Cause I'll never be with you. Well make your mind up Mr Blunt either you have a plan or you don’t know what to do, which is it?

And Ayo - Down on my knees.