While I can't argue with "The River," I think, when discussing Springsteen, it's worth noting that Nebraska is probably the saddest album ever made. Two contenders from that record:
- "Atlantic City," featuring the line, "Well our luck may have died and our love may be cold, but with you forever I will stay," which has long been my default answer when asked about the saddest line in music.
- "Reason to Believe," which wants us to believe it's uplifting, but is really just the Boss commenting on how "funny" it is that people don't give in to despair and throw themselves in front of a truck.
"Will You Love Me Tomorrow?" by Gerry Goffin and Carole King also deserves a mention. However, given recent developments, I posit that "Lucky" by Britney Spears is in fact the saddest song of all time. It's a masterpiece of subconscious, sublimated anticipatory desperation at an inevitable loss of dignity, hope and meaning, and also a brilliantly crass exploitation of that by the people who were making it all happen. You probably think I'm joking, but go YouTube that shit, then try telling me that the moment when fresh-faced young Britney reaches out to take the hand mirror from dolled-up "Lucky" Britney in the makeup chair doesn't break your heart.
Dolly Parton is truly the queen of sad songs. "Down From Dover" is certainly one of her most mournful. But also take a listen to "Me & Little Andy", "Mountain Angel" and of course the greatest of all "I Will Always Love You". Dolly you are the greatest!!!
Co-sign on "Atlantic City" on Bruce Springsteen. The way he sings that line still gives me goosebumps, and also that whole last stanza is just a killer: "Out here there's just winners and losers and don't get caught on the wrong side of that line/Well I'm tired of comin out on the losing end, so honey last night I met this guy and I'm gonna do a little favor for him..."
"State Trooper" is also pretty sad, as is most of "Nebraska"
I agree with the others mentioning "Atlantic City" and other Springsteen tracks, but don't forget about "Downbound Train" off Born in the USA, the line "Now I work at the car wash, where all it ever does is rain..." just gets me every time like a sucker punch to the gut.