I think the real question is, why are you listening to music whilst feeling sad?
If the answer is that you hope the music will improve your mood, then I choose something loud and obnoxious, such as:
Dancing With Myself because after a few moments of sentimentality for fraternity parties when I was in college and could stay up dancing until 3 AM, I'm laughing too hard to be sad.
Cast parties often last until well after 3 AM, but the music usually got turned off by then - except for the years when we could party in the theater, but that's another story that I won;t post on-line.
If, on the other hand, you want to have a really good wallow, sob for a bit and feel generally morose, then:
Have Yourself a Merry Little Christmas a family trying to be brave and feeling that all is lost. This is maudlin well done, and never fails to make me cry.
P.S. I maintain that I have shown great courage in holding off on Judy Garland this long.