When i feel sad and lonely I always plug in the old VCR and pop in some Wild America. The music when that puma takes down that rabbit always cheers me up. God bless Marty Stouffer you bear poop fondling crazy man.
Nocturne in E-flat major, Op. 9, No. 2- Chopin Étude Op. 10, No. 3-Chopin "Moonlight Sonata"- Beethoven The Great Gig in the Sky- Pink Floyd
A few off the top of my head. Forgive me if the names of the classical pieces are off. Also, though I included Pink Floyd in there, 99% of the music that has managed to envoke a feeling of sadness for me is classical.