I don't know who wrote it or performed it orginally but it's a song called "Soldier" and was covered by the Angelic Upstarts.
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Eric Clapton Stairway to heaven

Tracy chapman - The Promise

Heard it in a music chat room... and had just split with someone and didnt know why .. I sobbed and had to leave..

If you wait for me then Ill come for you
Although Ive traveled far
I always hold a place for you in my heart
If you think of me, if you miss me once in awhile
Then Ill return to you
Ill return and fill that space in your heart

Remembering
Your touch
Your kiss
Your warm embrace
Ill find my way back to you
If youll be waiting
If you dream of me like I dream of you
In a place thats warm and dark
In a place where I can feel the beating of your heart

Remembering
Your touch
Your kiss
Your warm embrace
Ill find my way back to you
If youll be waiting
Ive longed for you and I have desired
To see your face your smile
To be with you wherever you are

Remembering
Your touch
Your kiss
Your warm embrace
Ill find my way back to you
If youll be waiting
Ive longed for you and I have desired
To see your face, your smile
To be with you wherever you are

Remembering
Your touch
Your kiss
Your warm embrace
Ill find my way back to you
Please say youll be waiting

Together again
It would feel so good to be
In your arms
Where all my journeys end
If you can make a promise if its one that you can keep, I vow to come for you
If you wait for me and say youll hold
A place for me in your heart.

Girlfriend in a Coma - The Smith, No hang on thats quite funny.

How about this one

Blasphemous rumours- Depeche Mode

Girl of sixteen, whole life ahead of her
Slashed her wrists, bored with life
Didnt succeed, thank the lord
For small mercies

Fighting back the tears, mother reads the note again
Sixteen candles burn in her mind
She takes the blame, its always the same
She goes down on her knees and prays

I dont want to start any blasphemous rumours
But I think that gods got a sick sense of humor
And when I die I expect to find him laughing

Girl of eighteen, fell in love with everything
Found new life in jesus christ
Hit by a car, ended up
On a life support machine

Summers day, as she passed away
Birds were singing in the summer sky
Then came the rain, and once again
A tear fell from her mothers eye

I dont want to start any blasphemous rumours
But I think that gods got a sick sense of humor
And when I die I expect to find him laughing

http://www.youtube.com/watch?v=Vu9T6y1Wr_s

This is a newish and very tragic song along with an equally tragic video that struck a real cord with me. Its by the Legendary Massive Attack one of my all time faves. The lyrics are also worth a look
Video = http://www.youtube.com/watch?v=2LgrGHWSy6k
Lyrics= http://www.musicfactory2.co.uk/Lyrics/Dance/Massiveattack/Livewithme.html

I can think of two particular tunes that always remind me of melancholy moments, so perhaps they count ..

Thank You - Dido (Or even Stan - Eminem)

&

Mad World - Gary Jules
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Take a chance .. it may be your only hope ..

Gone away- the offspring, draw your own conclusions

Coldplay ~ The Scientist
Snowpatrol ~ Chasing Cars
Radiohead ~ High and Dry
The Goo Goo Dolls ~ Iris
Keane ~ Somewhere Only We Know
Blink182 ~ I Miss You
Angels & Airwaves ~ It Hurts
Starsailor ~ Lullaby
Buzzcocks ~ Ever Fallen In Love (With Someone You Shouldn't Have)

Just a few of what I think are sad song, but it all depends on when they are played and applied to, the happiest song in the world might be some-ones sad song?!

Just remembered a classic...
The Power of Love by Frankie Goes To Hollywood
If I was gay, that would be my funeral music!

At the moment, I keep playing Indoor Fireworks by Elvis Costello & the Attractions and it just gets me all choked up every time, its just so relevant right now!

Nothing compares to you, by Sinead O'Connor, gets me every time,
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You are only young once . . . but you can stay immature indefinitely!

Theres a song at the minute that gets me everytime. http://www.maria-daines.com/music-57.html

Awwww poor little Biko.

Thats so sad....and such a common story eh?

Cheap Trick ' The Flame'
Aeorsmith 'angel'
Muse ' Endlessly'
Gregory and the Hawk ' Boats and Birds'

yeah I know quite a few