Hmm, I've just had a thorough look through this thread and, although I've got such a fascination for film soundtracks, I'm not sure if I can really add to the suggestions already posed. To tell you the truth, I never really imagined a future for myself involving music.
However there are some songs that I will admit I've found to have a strangely sad/bittersweet element to them.
My Heart Will Go On:Now, although I don't presently have the soundtrack for Titanic and don't really intend to as yet, I do know which song is being referred to here and I can see, Stuart, why you believe it has such a lot of poignancy to it. If only I knew what else to say about it...
*Thoughtfully Browses His iTunes Library*
Ballad Of Glencoe:I've had a bagpipe version of this for a whole but first became fully attracted to it when I played it during my holiday in Fort William back in May. Since then, I've discovered the lyrics and the surprising fact that this (along with 'Donal', Where's Yer Troosers?') is, in fact, a 1960s development. One way or another, the lyrics really tell me a lot about the big impact Glencoe has had on our heritage, as well as the darker elements. Whenever I play this, in fact, my heart goes out to those MacDonalds who lost their lives that day in 1692 and my imagination tries to picture The Great Marquess (one of my favourite steam locomotives) crossing Rannoch Moor to it.
Flowers Of The Forest:Again, a Scottish bagpipe tune that I find oddly moving.
Amazing Grace:Not that I should think this one terminally sad or anything but it has featured in Star Trek (notably after Spock's initial demise at the end of Wrath Of Khan). Added to the William Wilberforce history it owes its origins to...
Mull Of Kintyre (Paul McCartney):More wistful than sad in my view, especially the Paul McCartney original. It certainly speaks of any fond memory one may hold of a long-lost loved one or similar and, although some of those I know have described it as a dirge, I can sort of see why.
Letter From America (The Proclaimers):Well, I don't find it heartbreaking as such but there's a slightly sombre element to this one as well. A credit to the Proclaimers for such genius!
It's For You (Niamh Kavanagh):One of several songs I've fallen in love with as a result of my watching the Eurovision Song Contest every year. This one was Ireland's 2010 entry and, while I think of it more as a love story than anything particularly sad, my heart has welled up with emotion when I get to the ending lyrics and notes. It really would work beautifully in a feature film. If it was possibly to marry Slieve Gullion with a Railway Children-esque setting in Ireland, this would be the perfect music for it!
Brain Drain (The Lightning Seeds):Now this is a favourite I grew up with throughout the 1990s and beyond. Although I'm not completely sure what the lyrics imply, I've never seen anything controversial in them - if anything, I've just discovered that the term implies immigration of individuals with great technical skill and knowledge so it could speak of one of Liverpool's most famous subjects - its docks and the immigration that went on there.
I'm not quite sure whether to call it a sad song as such - again, not having completely analysed the lyrics is part of that. However I have often detected something very moving about this particular song that, even if I can't quite place it, is still what makes it so special for me.
And that's just the songs that were produced as songs. What about the ones made for films? Well, there's a certain Disney song that I've rediscovered recently:
Dumbo - Baby Mine:This was one of the first Disney films I can ever remember watching as a boy and I must admit that the scene of young Dumbo's reunion with his imprisoned mother halfway through the film is exactly as moving as one can expect. Critics insist that it's difficult not to well up at that point and I won't deny that I've been deeply touched listening to that song again. Possibly because it's one of those moments in cinema history where one can reflect on how far we've come since our own childhood.
I know, I know - bit of a softy, aren't I?
But still - there's no real harm in it, is there?
The Lord Of The Rings - Into The West:Already mentioned in this thread but I refuse to avoid mentioning this timeless cinematic classic. Although it's the only song I've ever heard Annie Lennox perform, I rather think it'll go down in history as one of her most famous. Admittedly, I was even more moved by Frodo's actual departure for the Undying Lands but this really is a beautiful combination of moving melody, a soft enlivening voice and brilliantly crafted lyrics that always give me something to crack a bittersweet smile whenever I listen to it.
Toy Story - I Will Go Sailing No MoreI might as well come clean here - of all the animated films I've ever seen in my life, all 3 Toy Story films rank very highly in the top 10 of my esteem. This one perfectly describes Buzz Lightyear's battle to come to terms with the fact that he's a toy in the first film and single-handedly captures the sense of helplessness one might feel upon discovering the full story about something one might have otherwise been pretty naive about. Not quite heartbreaking to the point of devastating perhaps but it's certainly a bittersweet number where you can really feel for Buzz and find yourself wondering how Randy Newman ever came up with something so lovely.
Toy Story 2 - When She Loved Me:Again, this is a moment when Pixar have managed to touch the hearts of the entire audience in one single-handed moment. This is, of course, the song we hear in the background to the flashback of Jessie's history that clearly shows just how emotionally wounded the character is from the experience of having been forgotten and as good as abandoned by her previous owner. Even as a child, I could clearly see just what Pixar were coveying across with a scene that single-handedly taught a lot of us to value what we hold dear in life, lest we should lose it.
Oh, and not forgetting...!
The Wizard Of Oz - Over The Rainbow:Again, moving more than sad but still worthy of mentioning here. It was, I suspect, this moment in the MGM classic that catapulted Judy Garland to stardom and offered a wistful reflection of a possible place of our dreams where anything can happen. Mind you, despite the untimely nature of her death, I hope she found happiness over the rainbow eventually...
Now I'm absolutely positive that there must be a much sadder song than any of these put together - with the possible exception, I think, of Into The West. But, if there is, I can't think of what it could be so I'll cut my rather long-winded dialogue short here and let someone else find that ultimate sad song for me!