[whatsername75]

Sleep, Don't Weep by Damien Rice is probably the one song that I listen to the most when I'm sad. I find it comforting.
A few others:
Videotape - Radiohead
Mad World - Gary Jules
For Reasons Unknown - The Killers
A Dustland Fairtytale - The Killers
The Blower's Daughter - Damien Rice
Comfortably Numb - Pink Floyd