Oooh, yet another with a range of answers! However, the song that has the power to make me feel most sad has got to be Old Dances (Kate Nash)- I found it when I was very very stressed last year, and the lyrics described perfectly how I felt. I still listen to it now, when I feel like I need to be understood.
By the way, before I come across all sappy, it's not being misunderstood about love or the rest of the rubbish that teenagers go on about. This song has a pretty serious meaning!
Old Dances: http://www.youtube.com/watch?v=FGq_MDnwtHg