Great question. I love sad songs! (Strange, I know.)
In no particular order, here are several:
How Can I Help You Say Goodbye?
Holes in the Floor of Heaven
Streets of Heaven
Three Wooden Crosses
The Little Girl
Where've You Been?
How Do You Get that Lonely?
Also: A song by Big and Rich that is about domestic abuse-I love the song, but it's been so long since I've heard it, I can't think of the title. I'm sure I'll think of other song titles later, too, since I love sad songs so much!