Oh my god. Metalocalypse. I LOVE YOU SO MUCH FOR POSTING THAT.
I forgot to post this one; the saddest song in the history of sad songs. EVER. The Buffy sad song. You know, the song they play on the show whenever anything really, really sad happens? Guh. I hear this song and immediately start bracing myself for someone near me to die or lose their soul or get sent to a hell dimension or something.
Hm.. My favorite would be Fade to Black by Metallica, but a couple runner ups would be Casimir Pulaski Day by Sufjan Stevens, Mad World by.. I can't remember who did this song, and You Don't Know How It Feels by Tom Petty.
I have always found this song by Killswitch Engage particularly sad http://www.youtube.com/watch?v=JDWrnC4ZQoA
Maybe it's just because of the bad relationship I was going through at the time... But this is always one of the songs that comes into my head when I'm trying to think of something sad.