Though it does not make one *sniffle* like "Old Shep" does, one very sad song is "The Twa Corbies"...in which a knight is discovered dead (presumably 'murdered') in a field by a couple of crows. As they discuss how to share the feast, the songs notes that his hawk, hounds and girlfriend have simply abandoned him and gone on, and that after the crows are finshed, "o'er his white bones... the wind shall blow forever more".
   I guess the song is too short and compact to evoke 'sadness' as we think of it....especially since it notes that "naebody kens that he lies there".