The saddest album I think anyone will ever listen to is
Mount Eerie - A Crow Looked at Me
Phil Elverum's (the singer) wife died of cancer, and this is the grief he went through during and after her death.
Its hard to think of this of music becuase of how simple it is, but I never made it through this album without crying a lot, no matter how many times I listen to. I highly recommend if you lost someone in your life or just need to be sad.
My favorite of the bunch.