I love music that evokes sad feeling out of me. It just has that much more impact/intensity that it puts me in awe of music or something.
The fact that it could move me that much, I guess.
These are three I can think off the top of my head.
For some reason this song:
The XX "Hot Like Fire"
http://www.youtube.com/watch?v=88ZyJrSeI7ASigur Ros "Untitled 8" (or "Popplagio"... ironically called "Pop Song" when it's anything but)
It is one of my favorite songs of all-time... It's like the anthem of the Earth or something.
http://www.youtube.com/watch?v=HGdAQMFKT-IJeremy Enigk "Lewis Hollow"
It just always makes me cry. That longing we have for another person (even if that's not exactly what the lyrics are about)
Can't find this song anywhere because this dude's solo project.. he's from Sunny Day Real Estate.. but his solo music is not that popular. So here's a live one, starts at about 1:00 if you want to skip the intro.
http://www.youtube.com/watch?v=adwRncF3ezo