By far, either "Fiction" or "So Far Away" - both by Avenged Sevenfold.
Fiction is a song written by Jimmy 'The Rev' Sulliven, Avenged Sevenfold's drummer, just three days before he died. If you listen closely, you can sill hear his vocals in the background of it. I bawl my eyes out every time I hear it. The most chilling part of it is that it is about death and suicide.
So Far Away was written by the band's guitarist in memory of Jimmy, and is dedicated to him.
I seriously reccomend you guys listen to at least one of them. They are sad, but VERY good songs.
I've hardly heard of any of these songs! I just listened to "Into the West"--very haunting. I'm definitely adding it to my playlist.
I agree with ChickenForever. "My Immortal" by Evanescence. It's very depressing--it has no hopeful notes in it whatsoever. Beautiful, but extremely sad.