"I Don't Believe in the Sun" and especially "All My Little Words" by the Magnetic Fields ("You are a splendid butterfly/It is your wings that make you beautiful/And I could make you fly away/But I could never make you stay").
For sad with a tough of wry there's always George & Ira Gershwin - for instance: "But Not For Me" ("They're writing songs of love/But not for me".
The big mama of 'em all, though, would have to be "Heart Like a Wheel" by Kate & Anna McGarrigle:
Some say the heart is just like a wheel:
When you bend it, you can't mend it;
But my love for you is like a sinking ship
And my heart is on that ship out in mid-ocean.
When harm is done no love can be won,
I know it happens frequently.
What I can't undertand - oh please god, hold my hand -
Is why it should have happened to me.
And it's only love, and it's only love
That can break a human being and turn him inside out,
That can break a human being and turn him inside out.
Some say the heart is just like a wheel:
When you bend it, you can't mend it;
But my love for you is like a sinking ship
And my heart is on that ship out in mid-ocean.
Of course, that's just the songs about love. I'll post again in the future for more wide-ranging misery.