hm...well, sad songs tend to be rather cathartic for me, so just to clarify, they don't make me sad. But they very much are sad songs, if you think about it. (I hadn't intended on them being imbedded, but well, I'm just not that tech savvy, so here they are.)
AFI - This Time Imperfect
AFI - The Leaving Song
Blaqk Audio - If Only
Placebo - Running Up That Hill (not all that sad when Kate Bush does it, but anyway...)
Placebo - Follow the Cops Back Home
Our Lady Peace - Not Enough
The Smiths - Asleep (my favorite song)