Ghost on the Shore - Lord Huron. A song about death and a dead man who's not quite ready to leave Earth.
Adam's Song - Blink 182 is about suicide and depression, which always stuck out to me considering the jovial and immature nature of the band.
Hallelujah - Leonard Cohen and/or Jeff Buckley. Very misunderstood, somber song, about loneliness and falling out of love.
Stacks - Bon Iver, a song about losing everything.
Not read through the whole thread but pretty much anything by Radiohead or The Smiths would qualify as "sad".
Eleanor Rigby is also quite a depressing song.