I've heard a lot of sad music, but not much from games though.
From memory, I remember the last part of the opening theme in Final Fantasy VI to be somewhat sad (the part where the soldiers are walking toward Narshe as the credits scroll by on the screen).
http://www.snesmusic.org/v2/download.php?spcNow=ff6 (SPC format)
Also a big winner for me is the haunting "Invisible Sorrow", the music from the Undergound Tunnel level in both Castlevania 64 and Legacy Of Darkness. It's gentle and slow-paced, and to me just radiates loneliness and loss.
(Can't find the link to the USF right now)
One last song I remember is an OverClocked Remix of the Library music theme from Symphony Of The Night. It's done purely on a real piano, but it gets so intense at the end it just moves me. Music always has an intense effect on me.
http://djpretzel.web.aplus.net/songs/Castlevania_SotN_ScriabinsLongLibrary_OC_ReMix.mp3 (MP3 format)
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"With the first link, the chain is forged. The first speech censored, the first thought forbidden, the first freedom denied, chains us all irrevocably." [...] The first time any man's freedom is trodden on, we're all damaged. - Captain Jean-Luc Picard
B*tch, meet reality. Reality, meet b*tch. - Me