I can't believe no one mentioned this one:

Gary Jules - Mad World (from Donnie Darko)

THE most DEPRESSING song of ALL TIME.

Also:
Snow Patrol - Set the Fire to the Third Bar
Blink-182 - Miss You
Blink-182 - Adam's Song
Jimmy Eat World - My Sundown
Averi - Goodnight, Goodbye
Coldplay - The Scientist
Nine Inch Nails - With Teeth

I don't really think a song can make someone sad... But I will have to say if they make a music video with it that it can be a little sad but still not enough to make me actually have tears.

4 music videos that are sad are:

Simple Plan - "Untitled", Good Charlotte - "Hold On" (not a big fan of them but it was a powerful video), Bone Thugz n Harmony - "Crossroads" (old school, early 90s) and Pearl Jam - "Jeremy" (another old school).

one moment more - mindy smith
advertising space - robbie williams

One Sweet Day - Mariah Carey and Boys 2 Men... I lost a family member that day came out so its always had special meaning to me

Most recently, it's...

The Fray - How To Save A Life
Pink - Who Knew
Rascal Flatts - What Hurts the Most
Nick Lachey - Resolution

Some good ones were mentioned..

Thrice - Red Sky
Evanescence - My Immortal
Evanescence - Hello
Coldplay - The Scientist
Coldplay - Yellow
The Fray - How to Save a Life

Many others...

Natasha Bedingfield - Wild Horses
Celine Dion - My Heart Will Go On
S&J - Whenever You Close Your Eyes
Hilary Duff - Someone's Watching Over Me
Hilary Duff - The Getaway
Hilary Duff - Inner Strength
Spice Girls - Viva Forever
Spice Girls - Let Love Lead The Way
Spice Girls - Goodbye
Oasis - Little By Little
Thalia - No Me Ensenaste
Mariah - TTR
Nelly Furtado - Try
Britney Spears - Shadow
Britney Spears - When I Found U
Britney Spears - Everytime
Jessica Simpson - Angels
Jessica Simpson - Underneath
Jessica Simpson - You Don't Have To Let Go
Kelly Rowland - Stole
Christina Aguilera - The Voice Within
Christina Aguilera - Pero Me Acuerdo De Ti
Sugababes - Follow Me Home
t.a.t.u - Gomenasai
Coldplay - The Scientist
Stacie orrico - I Promise
Shakira - The One
Anastacia - You'll Never Be Alone
Anastacia - Welcome To My Truth
Anastacia - Rearview
Anastacia - Heavy On My Heart
TLC - Damage
Jewel - Stand
No Doubt - Running
Jennifer Lopez - Alive
Jennifer Lopez - The One (version 2)
The Calling - Could It Be Any Harder
The Calling - For You
Avril - I'm With You
Avril - Nobody's Home
Savage Garder - Truly Madly Deeply
Marie serneholt - Oxygen
Natasha Thomas - Skin Deep
Geri Halliwell - Let Me Love You More
Emma Bunton - Breathing
Rachel Stevens - Nothing Good About This Goodbye
Ana Johnsson - Don't Cry For Pain
Sarah McLachlan - World On Fire
Ashlee Simpson - Catch Me When I Fall
The Veronicas - Mouth Shut
Dido - Here With Me
Dido - Life For Rent
Robbie - Feel
DHT - Listen To Your Heart
more...

ohhhh i forgot

savage garden "i knew i loved you"

Have you ever went through loss? Or depression? Because when you're going through one of them(or sometimes even both), you're going to get sad about certain songs. It's not preventable.

"Black" doesn't have a video(to my recollection) and it is the saddest song of all time. Songs don't necessarily have to have videos in order for them to be sad, especially when you take into account your own personal mood.

Yeah but that's still more based on how you felt not because you heard it in a song. Anyways, I did list some videos/songs that were sad and had a powerful meaning and nobody else used the same ones. Pearl Jam's "Jeremy" was easily one of the "saddest" songs/videos ever.