Crash by the canadian band Sum 41 is one of the saddest songs I ever heard.
It's about a guy having his last conversation with a loved one and asking her to hold him one more time and to move on without him. Such a beautiful song.
Sum 41 is my favourite band by the way.
Lucky one by another canadian band, Simple Plan is a very sad song too, not as much as Crash though, not even close, but sad in its own way.
It's about guy who's depressed and with pain and the only thing he wants is something better in his life, more luck to be precise.