Well Leonard Cohen if you can stand his ridiculousness has some great sad songs. "The dealer," for example.
I'm sure you know Billie Holliday & Edith Piaf. If you have any French I'd recommend George Brassens. If you have any Russian & actually even if you don't, I'd really recommmend Vladimir Vysotsky (
http://www.kulichki.com/vv/eng/), Bulat Oku(d)jawa, Novella Matveeva, & Galich.
Also early blues & jazz...Robert Johnson, Skip James, Armstrong's Hot Fives recordings.
Early Jay-Z.
Wilco, Flaming Lips, Violent Femmes, Neutral Milk Hotel, Moldy Peaches, decemberists...... wow I love sad music.