Well, today is World Suicide Prevention Day, so here's the saddest suicide song that I know: Megadeth's "A Tout Le Monde". Despite their name, this song is NOT particularly heavy, and is easily enjoyable by anyone!
Note: According to wikipedia, Dave Mustaine has stated "It's not a suicide song. What it is, it's, you, it's when people have a loved one that dies and they end on a bad note, you know, they wish that they could say something to them. So this is an opportunity for the deceased to say something before they go. And it was my impression of what I would like to say to people, if I had say, 3 seconds to do so in life before I died I'd say to the entire world, to all my friends, I love you all, and now I must go. These are the last words I'll ever speak, and they'll set me free. I don't have to say I'm sorry, I don't have to say I'm going to miss you, or I'll wait for ya. You know, I'll just say I loved you all, good, bad, indifferent, I loved you all." Despite this, and despite MTV banning the video because they thought it was PRO suicide, I've always considered it an anti-suicide song because of how sad it is to even think of some random person taking their life this way.
For those curious, the french translates to: "To all the world, to all my friends, I love you, I must leave."