Another one I love is The Roaring Twenties.

Jimmy Cagney is a gangster and he's in love with Priscilla Lane. So he gets her a job singing in a nightcub. But she doesn't love him - she's in love with the DA who's trying to put Cagney in jail. When she's in the nightclub she sings It Had to Be You and its very sad. then Humphrey Bogart shoots him.