Wow. No mention of anything classical here. Sad day indeed. Try the Lacrymosa from Mozart's Requiem. Or Schindler's List, Main Theme. Or the opening to Verdi's Requiem. Or Bach's Chaconne in d minor for solo violin.
All of those evoke a serious feeling of sadness.
On a non-classical note, Barfly by Enter the Haggis is awesome (in a sad, depressing sort of way).