Early in the thread, people mentioned Omie Wise and Tom Dooley, and for me these are the two that spring to mind first if the topic is songs that are sad, even if there are other events that are even more horrible.

For example:

"John Lewis, John Lewis I'm afraid of your ways
I'm afraid you will lead my poor body astray."

"Little Omie, little Omie, you guessed that about right
I've dug on your grave the best part of last night."

Those four lines put you right there on the banks of the river in North Carolina. Little Omie is going to die, you're going to see it happen, and there's not a damn thing you can do about it.

Tom Dooley, however much it's been done and overdone over the years, is still chilling:

"This time tomorrow, reckon where I'll be
If it hadn't been for Grayson, I'd have been in Tennessee."

According to the narrative of the song, of course, Tom Dooley did murder Laura Foster and so deserved what he got. However, there's some reason to believe he was wrongly convicted, and if you sing it with that in mind those lines are incredibly powerful.