Another one I prefer to be alone when listening to, just so I can really listen to it, My Father's House by the Boss. Though there are loads by him that could end up in a thread like this:
I define a sad song as one that stops me in my tracks every time I hear it. I remember being a little kid and hearing this performed at Princess Diana's funeral on television. The lyrics are quite possibly the most elegant I've ever heard.
This was written following John Lennon's death. John Lennon and Elton John were great friends, and this song was so emotional for Elton that he rarely ever played it in concert.
"Now there aint nobody nowhere no how gonna ever understand me the way you did"
And
"In some motel room there'll be a radio playing, And you'll hear me sing this song, Well if you do you'll know I'm thinking of you and all the miles in between"
Such a beautiful record. No fluffy language, just a pure rush of nostalgic emotion.
Also:
The Wreck of the Edmund Fitzgerald
Girl from the North Country
A most peculiar Man
Mothers of the Disappeared
Try not to Breathe
She thinks I still Care
Coat of many colours