If I could cry easily (which is a thing I can't do, I have very dry eyes), I'd probably cry to these (and mostly because of personal reasons and nostalgie).
Queen - Show must go on, Too much love will kill you
Bonnie Tyler - Total Eclipse of the Heart
CMX - Minne paha haudattiin
Led Zeppelin - Thank you
LUNA SEA - I For You
And some more. Perhaps they aren't sad, but as I said, they are nostalgic for me and that's the reason why.