Sad songs are being listed over at Slowly Going Bald. Here are my additions:

Good Woman - Cat Powers
Nightblindness - David Gray
Crowd Surf Off a Cliff - Emily Haines
River - Joni Mitchell
The Weakness in Me - Joan Armatrading
Sure as Sh*t - Kathleen Edwards
Away - Kathleen Edwards
Pretty Girls - Lori Carson
Pretty Good Day so Far - Martha Wainwright
You Could Be Happy - Snow Patrol
Cooling - Tori Amos