Since this thread is at the top again:

The first sad song to really make an impression on me when I was only 5 or 6 was hearing The Shifting Whispering Sands on the radio. The image of that poor dead miner lying there - it's wasn't just that he had died (of starvation? injury? suicide?) but the fact that he was all alone, left there in the wilds with no one to remember or mourn him, and it was strangers who crossed his hands and buried him. (Something about that line really got me. Still does.) Funny how well I've remembered it through all the years - the bleached bones, the dry well and desolate sand drifting over what was once people's homes and lives.

I have just cheated and checked the words in another thread to see if I was getting any of this wrong, but find I didn't. This song clearly made a strong impression. (That's one reason I love songs so much: their power.)

I was only a little kid at the time, but to my mind this still qualifies as one of the saddest songs of all times, transcending being merely a tear-jerker to touch on our larger fears and unanswered questions.