I never cry with music but a few years ago I came across a movie on YouTube called 'Cyberbully'. It's about a young girl who endures severe bullying on a social networking site. In one scene, the last straw was drawn and she tries to commit suicide but during this scene a very sad song played call 'Breathe Me' by Sia.

This song touches my heart and I have never felt so sad listening to a song. I think it's the saddest song I have heard in my life.

https://www.youtube.com/watch?v=SFGvmrJ5rjM