I think the song "You Don't Have Very Far To Go" by Merle Haggard would be great for you, but try the Lucinda Williams cover. Lucinda Williams - You Don't Have Very Far To Go
Check out other Lucinda Williams stuff, all her music is sad. I recomend Greenville, Like A Rose, Something About What Happens When We Talk, Sundays, and Jackson.
Also these songs helped me out when my boyfriend died...
Walk On By - Cyndi Lauper (or the original Dion Warwick version)
Me and Bobby McGee - Janis Joplin
Malibu - Hole (I'm sure you've worn this one out by now anyway)
Check out these aswell...
Emmylou Harris - Boulder to Birmingham (about wanting someone back whos dead)
Emmylou Harris - A Love That Will Never Grow Old (Reliving the fonder times of a love no more)
Dolly Parton - Here You Come Again (About being helpless to your man leaving and copming back)
Teddy Thompson - I Don't Want To Say Goodbye (not wanting to let go)
or if you really want to queen this one out...
Whiteny Houston - Where Do Broken Hearts Go
Whitney Houston - Didn't We Almost Have It All
Whitney Houston - I Have Nothing
TLC - Damaged (being scared to enter new relationship)
Bette Midler - Delta Dawn (Old woman kills herself)
Annie Lennox - Cold
Carole King - Will You Still Love Me Tomorrow?
Fleetwood Mac - Silver Springs
Heart - Alone
Heart - Who Will You Run To?
Bonnie Raitt - I Can't Make You Love Me
Also, Lisa Loeb has some nice breakup music. Kickstart, Stay, Let's Forget About It, Fools Like Me, and Try.