I posted this on the first page of the thread "Modern little known musical gems." However it certainly fits this thread too. It comes from Corpse Bride, written by Danny Elfman. He knows the dark side very well it seems.
I find that most of the contributions on here are just solemn, not particularly sad.
Listen to the master Tchaikovsky, and his Symphony number 6, final movement. The last work of his life, the orchestra begins with a wail, continues to into racking sobs, becomes funereal, and ends with the slowing and final cessation of a beating heart.
In fact I advise anyone who is now sad or lonely not to listen to it.