Just about the saddest song I ever heard was sung by Ethel Waters, probably in the 1930's. I can't recall the title, but it's a mother singing to her children telling them that daddy isn't coming home tonight. (He's been lynched.)
If anyone knows the title, please post it.
In a similar vein is "Strange Fruit," sung, I think, by Billie Holiday. It's also about lynchings.
Songs that make me choke up include:
The Sweetest Gift (sung by The Judds)
Mr Tanner (Harry Chapin)
Where've You Been? (Sung by Kathy Mattea)
Un Cananien Errant
My Yiddishe Mame