If you want sad songs listen to smile from the streets you hold. Although I doubt your this sad, considering he was close to killing himself in a hotel full of crazy drawing and heroine while making it.
there are a lot of sad songs that I like, some times I just make a playlist to feel depressed...don't know why...but if I had to choose the one, single most depressing song I'd go with "Pretty (Ugly Before)" by Elliott Smith
thats the same with me its like...i guess its making you realize that someone else is having a bad time and something in your brain clicks like dude im not all alone in the world...but thats what i think