I've heard a ton of sad songs in video games, so I can't really decide which of them is the saddest.

But when I think of sad songs, this is one of the first ones to come to mind. It still sends chills down my spine whenever I listen to it.

http://www.youtube.com/watch?v=yHYpeqbHBYc

Kazuya had defeated his evil father Heihachi in Tekken 1 and proceeded to throw him down the same cliff that Heihachi through Kazuya off when he was a child. However, Kazuya would take his father's place as head of the corrupt corporation, the Mishima Zaibatsu, and end up being an even more evil leader than his father was. His crimes included kidnappings, killings, and smuggling animals for experiments. It is eventually revealed that at some point in his life, Kazuya had made a deal with the Devil in order to gain the power necessary to defeat Heihachi. His regular theme in Tekken 2 is full of epicness, but his Devil theme is like a sad, depressing version of his regular theme. I believe it represents the evil finally overtaking the little bit of good that was left in Kazuya's heart. Since Tekken 2, he's always been a power-hungry bastardio.

You can tell I really lovez my Tekken/Tekken music. =P