I dare say this list would look entirely different depending on when you ask me, and to some extent it's more a list of those among my favourite songs that are sad, or songs with a particular line that stuck in my mind. But anyway, some that come to mind at the moment, in completely random order:
Pink Floyd - Time
Guns N' Roses - November Rain
ABBA - Cassandra
Jacques Brel - too many to name, but particularly Les Vieux
Queen - The Show Must Go On
Supertramp - Rudy
Don McLean - Vincent
Dusty Springfield - Nothing Has Been Proved
The Cranberries - Ode To My Family (among many others)
Fairuz - Wahdon (yes, that's in Arabic, and no, I never entirely figured out the lyrics - but you don't really need to)