Sad to me a lot of times means stuff about time passing and getting older or things changing, so most of these are along that line. Some of the ones I think of first:

Time, Fat Old Sun, and High Hopes by Pink Floyd

In My Life by The Beatles (also Ozzy)

Hurt by Johnny Cash (orginally NiN)

Preaching the End of the World by Chris Cornell

There Was a Light Here by Demon Hunter