I'm looking for any sad songs to add to my list. What I'm mostly looking for is black metal, but tbh i'll take anything atm. The noteable ones on my list atm are:

Agalloch - Not Unlike the Waves
Antestor - Sorg
Barren Earth - Jewel
Caladan Brood - Echoes of Battle
Coldworld - Escape
Empyrium - Ode to Melancholy
Eternal Tears of Sorrow - The River Flows Frozen
The Foreshadowing - The Wandering
In Vain - Captivating Solitude
Insomnium - Regain the Fire
Mar de Grises - A Sea of Dead Comets
Metallica - Nothing Else Matters
The Old Dead Tree - It's the Same for Everyone
Sentenced - Mourn
Vials of Wrath - Empty Words
Warning - Watching From a Distance

Cathedral's "Reaching Happiness, Touching Pain" is pure tortured misery:
http://www.youtube.com/watch?v=APZDLwxTeDo

I assume you are looking for metal exclusively?

surprised there isn't more Sentenced on your list. I can't even listen to those guys anymore.

based on liking the same stuff quoted, I'll add:
Woods of Ypres - Allure of the Earth


edit: just realized you're from Canada. hope that wasn't a really stupid obvious recommendation.

Soulfallen - We Are The Sand : http://www.youtube.com/watch?v=wiZ7rNHi9mk

Elysian Fields - I Of Forever : http://www.youtube.com/watch?v=wVhNYh1HXXo

Katatonia - Gateways of Bereavement

Metal Church - Anthem to the Estranged

Virgin Steele - Child of Desolation

Pantera - Hollow

Really, this got to be the only metal song ever that almost made cry ;-;

EDIT: The song's about an actual friend of the band who has entered a vegetative state.

I wasn't going to post my full list, but all of these bands have more than one song on it.
And no, WoY isn't real obvious because I usually overlook them

Anathema - one last goodbye. It's about the Cavanagh's mother's death.
The Gathering - Jelena. About Anneke's friend who died of cancer IIRC. All about how much the drugs she was taking for it messed her up.

thx for all the songs everybody

Savatage - When The Crowds Are Gone Damn you, now I'm crying again!

Cryptopsy - Pathological Frolic, Phobophile, Cold Hate, Warm Blood.

My Dying Bride - The Dreadful Hours
Saturnus - Paradise Belongs to You

None more sadguy.

Hammerfall - Glory to the Brave
Blind Guardian - All the King's Horses

No Candlemass?

http://www.youtube.com/watch?v=woe_4gkS4XU

Listen to the entire Epicus Doomicus Metallicus album. They're all just as depressive.

Totalselfhatred- Sledge hammered Heart

Really bums me out when I give it a spin. Heavily reccomended.

Also seeing as you're an Agalloch fan try Gallowbraid. Basicly agalloch from Utah but still good nonetheless.

Glory to the Brave by Hammerfall

Don't know how these will sit on you but I take them as very excellent sad songs.

Gardenian: Tell the World I'm Sorry - https://www.youtube.com/watch?v=d0tyz8Hm40I
If Tomorrow's Gone - https://www.youtube.com/watch?v=Rb5_vORcKvo

keem em coming, guys. these are great.

I of Forever is a good call, fantastic song.

After skimming through my library, I found:

Angantyr - Blod for Blod, Liv for Liv (melodic black metal, incredibly epic, with a 6 minute cello solo at the end)
Crimson Glory - Lost Reflection (disturbing and depressing ballad)
The Cure - Love Song, The Same Deep Water As You, Disintegration (very hopeless and mellow)
Demons & Wizards - Fiddler on the Green (acoustic ballad)
Falls of Rauros - March of the Valorous Bane (starts off acoustic, becomes semi-BM)
Funeral - The Architecture of Loss (funeral doom)
Nyktalgia - all material (fantastic DSBM)
The Sins of Thy Beloved - Lake of Sorrow, All Alone (very hopeless gothic/doom with violin)
Tiamat - Divided, A Caress of Stars (a ballad and an ethereal death/doom masterpiece)
Virgin Steele - House of Dust, Arms of Mercury (both ballads)
Within Temptation - Our Farewell (ballad)