The original version of "Without You" by Badfinger. What makes it more tragic is that the band members killed themselves or went nuts! Now the song is stolen by that mad chick Mariah Carey where alot of its poignancy has been lost.
Lou Reed's "A Perfect Day". The tone is sad in the beginning. Just as the lyrics become promising and upbeat the tone changes back to the gloomy warning "You're gonna reap what you sew". Creepy!!!
U2's "Exit" vividly describes a person contemplating suicide.
"The Ode to Billy Joe" Macallister who jumped off the Tallahassy Bridge.
"I'll sail this ship alone" Beautiful South. Sad throughout ends distressingly and abruptly with "...if I set myself on fire, would you come running back?"
The Nick Cave & Kylie number "The Wild Rose" is quite spooky, sad and depressing. His love and possibly contempt for his Eliza Day is so intense that he grabs a rock and smashes her to death by the riverside where they just had a romantic interlude.
Sting's "Children's Crusade" and "Russians"