Up the thread, a poster thought that this had been sung at presidential funerals.

I can't say, but there is a famous photograph from Life Magazine showing mourners watching FDRs funeral prosession that references this song. The person photographed is a black man in some sort of uniform (I don't believe it is military - more like a band uniform or a service uniform.) He is weeping and playing the piano accordian. The caption reads that the musician is playing "Going Home."

The scene from the film, "The Snake Pit," mentioned by some, is heart rending. It takes place at the "good" institution, where the heroine is actually getting help. The patients are allowed a dance party. And at one point a very striking (but not "pretty") woman starts to sing the song. All noise and frolick cease; all eyes turn to her. Not a dry eye in the house...