RICHARD HARRIS: http://www.youtube.com/watch?v=su3JdzUUuH4

This song aint about a CAKE..its a metaphore of happiness, of the good times, that come but suddenly can be lost. like a love in example..If we could find again all the "ingredients that the recipe had"...but sometimes, once the happiness is lost..its quite impossible to get them again..The song is brilliant, intense, so deep in its emotions..-if you were living hard moments you can be sure you will live the feeling that Richard Harris impressed on this masterpiece...

Most of the people I've introduced to this song (Blood on the Saddle by Tex Ritter) have said it's the most depressing song they've ever heard.

Oh, and in case there was anyone who didn't doubt the legitimacy of the claims in the video...

http://en.wikipedia.org/wiki/Gloomy_Sunday#Urban_legends
http://www.snopes.com/music/songs/gloomy.asp

I'd have to go with Adagio for Strings by Barber. But it isn't really sad per se, more of a "I've got something in my eye" kind of song. It's possible it's actually just a very beautiful song, but that Platoon was such a tremendously depressing movie and because they always play it at funerals, now its sad.

You've all heard it before, but here:
http://www.youtube.com/watch?v=izQsgE0L450&feature=player_detailpage

edit: Oh, and also, maybe that doesn't quite count as a "song" in the strictest sense.

http://www.youtube.com/watch?v=48cTUnUtzx4

Here is "Gloomy Sunday" by Billie Holiday.

Number 1 comment: "thumbs up if you're here because of QI"

My vote would go to NIN's Hurt as covered by Johnny Cash.

Amazing 7 year old on Norway's Got Talent - Gloomy Sunday has been added as a related post - related requested by oohlalasassoon on that post.