I could not choose one: I could try three or four...
Current 93 - A Song For Douglas After He's Dead
Incredible. Unlike many sad songs, this ones meaning is hidden in layers of allusion, but even if you don't understand it, the power of the delivery is enough. And oh, the scope. It's about the death, not just of a soul, of a life, but of all romance and beauty and ideals. Incredible.
Dead Can Dance - The Wind That Shakes the Barley
This is all in the vocal delivery. Well, it is a cappella. But I mean...fuck.
Sol Invictus - Here Am I
This is more a personal one, that just sliced me to the core one bad night with two, very simple lines:
"And here you are, drunk and scared,
You've finally realised that life's not fair."
My Dying Bride - The Crown of Sympathy
It's hard to pick one song from the beautifully orchestrated expression of grief, desperation and anguish that is MDB's timeless opus 'Turn Loose the Swans'. But if I had to, this would be it.
"I'd fallen before, but it never hurt like this.
Don't leave me here to crawl through the mire.
I'm without fault before the throne of God...
Take from me the Crown of Sympathy.
*DOOMIEST FUCKING RIFF EVER*"