Busby Berkley Dreams, The Magnetic Fields
Ignore the amateur-produced video and just listen to the song unless you want serious cognitive dissonance.
High and Low, Greg Laswell
Apparently if you watch Smallville you already know this song. I don't, so I didn't.
Some also rans include "Mona Lisas and Mad Hatters" by Elton John and "Meeting Across the River" by the Boss. One of the 400 attributes in the Musical Genome Project is "heartbreaking lyrics" and I think that's what all these have in common.
I did promise fun YouTube links, not just sad songs, but I really only had one in mind:
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