Not exactly a folk ballad, but one of the saddest murder songs I know is the following, by Cole Porter:

MISS OTIS REGRETS

Miss Otis regrets she's unable to lunch today, madam,
Miss Otis regrets she's unable to lunch today.
She is sorry to be delayed,
But last evening down in Lover's Lane she strayed, madam,
Miss Otis regrets she's unable to lunch today.

When she woke up and found her dream of love was gone, madam,
She ran to the man who had led her so far astray,
And from under her velvet gown,
She drew a gun and shot her lover down, madam,
Miss Otis regrets she's unable to lunch today

When the mob came and got her and dragged her from the jail, madam,
They strung her up on the old willow across the way
And the moment before she died,
She lifted up her lovely head and cried, madam,
Miss Otis regrets she's unable to lunch today
(spoken tearfully) Miss Otis regrets she's unable to lunch today

These are the lyrics as sung by Marian Anderson (not the version I remember, which was more bluesy and had instrumental breaks between the verses). I like to play it on a fretless banjo--and I'm currently filing the frets down to the board of one of my banjos--primarily for this song--I'm having to file them down because they are too rounded for me to get ahold of them with my cheapo imitation of a fret pulling tool which I used to pull the frets from the neck of a Rover--which I later sold.

Charles