These two songs are currently in a dead-lock tie for the saddest song I've ever heard. Notice the common theme: utter and complete subjugation/desperation ("I'll do anything for you"/"I would be anything that you wanted me to be").
"For the Widows in Paradise, For the Fatherless in Ypsilanti" by Sufjan Stevens
"A Favor" by Okkervil River (more on this in an upcoming Coldfront feature)
Same goes for this forever runner-up: "Please, Please, Please Let Me Get What I Want" by The Smiths
Give me your tired, your poor, your most wretched songs of all time.