delilah & the perfect fit by the dresden dolls are definitely really sad.i sobbed when they played delilah last time i saw them
also:
amanda palmer - ampersand
sleater-kinney - good things
afi - this time imperfect
scarling. - alexander the burn victim
the distillers - the hunger
dire straits - romeo & juliet
counting crows - round here (my ex loves it, which makes it doubly upsetting)
brand new - the boy who blocked his own shot
placebo - pierrot the clown
OH and mr brightside by the killers gets me every time.