I think that Hello by Evanescence is a rather sad song.

Shinedown is awesome. Save Me is a good sad song by them, too, and I find Beyond the Sun to be sad, though I don't know if it's supposed to be.

I love this thread already. I shall share a few.

Number one most depressing song ever:

Vast - Touched

More depressing songs:

Pink Floyd - Wish You Were Here
Pink Floyd - In the Flesh?
The Mars Volta - Televators
Shinedown - Burning Bright
Tears for Fears - Mad World
Joy Division - Love Will Tear Us Apart
Rammstein - Ohne Dich
Abandoned Pools - Blood

Many more to come.

That is one of my favorite songs, Speed. And yes, it is a very sad song. Such a tragic story what happened to him.

Tears in Heaven - Eric Clapton.

the song itself isn't really depressing, but knowing the circumstances and what motivated him to write it makes it really sad.
(In fact it's rather questionable if he was just trying to make a hell of a lot of money through his sons death, but since there's no way of knowing what goes on in his head and i like the song...)

Do post it.

Actually, I shouldn't have limited to just one. Post as many as you guys want.

I have a whole list.