No Unfinished Sympathy - Massive Attack, BBF3 - Godspeed You Black Emperor, Butterfly - Weezer, Roads - Portishead, Palmless Prayer / Mass Murder Refrain - MONO & World's End Girlfriend, Hurt - Johnny Cash etc.
Miley's The Floyd Song (Sunrise) always used to upset me. The lyrics are literally everything to me. Lykke Li's Possibility is depressing too. Tove Lo's Out of Mind kills me too. The yn remix even hurts me more.
Those are just 3 off the top of my head. Hello is an amazing song but it's not that sad as other songs.