well, I've always found "O little town of Bethelhem" to be haunting.
Not to mention "O Tannenbaum". Very wistful tunes, those.

A couple of people mentioned "A Soldier's Story," Ennio Morricone's tune for The Good, the Bad, & the Ugly. There was another haunting tune in that movie. You first hear it when Clint and Eli Wallach are made prisoners of war by the northern army, as they march into the camp--played as (of course) a march. Immediately afterward, when the dying fort commander struggles to the window, you hear the same melody again, but played as a dirge.

Doug