Great thread!
Interesting, how subjective this can be. . .
A few that spring to mind:
Severely underrated, IMHO, Janis Ian has written some devastatingly sad songs. Try "Jessie".
Sandy Denny: I can’t listen to her solo recordings due to the emotionality. Nearly every performance seems laden with despair, whether explicit of implicit. Too dark for me-- I need some light along with the shadows.
Stones: Wild Horses, No Expectations, Let It Loose, I Got the Blues, ("interpreting" Robert Johnson): Love In Vain
Richard Thompson: The End of the Rainbow, Withered and Died, Never Again, Walking On a Wire, When the Spell is Broken, to name but a few.
Jesse Winchester: I Wave Bye Bye
Allmans: Whipping Post, Dreams, Please Call Home, Worried Down With the Blues
Emmy Lou Harris: Too Far Gone, Boulder to Birmingham, Tulsa Queen, to name but three.
John Hiatt: Take It Down, Icy Blue Heart
Janis Joplin: Kozmic Blues, Maybe, Little Girl Blue
Iris Dement; simply the timbre of her voice brings on the tears, so I rarely listen to her.
There are overtly sad songs and then there songs that are "pleasurably sad" ("wistful"?) that which I identify with songs such as "Winter" by the Stones, "Melissa" by the Allmans, "Stella Blue" by the Dead, "All In Love Is Fair" by Stevie Wonder, "The Wind Cries Mary" by Jimi Hendrix.
There are also songs whose theme is surviving sadness and finding some sort of inner strength to move on from it, such as "It Ain’t My Cross To Bear" by the Allmans, "Just Cause I’m In Love With You" by Jesses Winchester, "Walk Away" as sung by Ann Peebles and many others, particularly in the Blues and R&B genres.