The saddest things ever written were put to song. Here are three VERY sad and ultimately depressing works:
https://www.youtube.com/watch?v=-kSrV_CubiQ
https://www.youtube.com/watch?v=iN9CjAfo5n0
https://www.youtube.com/watch?v=P3dapDTDJzk
The Gary Moore (last link, with the amazing Bob Daisley - who composed most of Ozzy's first album and didn't get credit, thanks to Sharon Osbourne) is particularly sad. And he was an incredible songwriter and guitarist, who went virtually unnoticed.