If you don' t mind not understanding the lyrics, try the album Kauan by the finnish band Tenhi.
While were at finnish bands: some Nightwish songs are really great sad music: Away, Sleeping Sun and Deep Silent Complete come to my mind.
Also have a listen to Songs by John Dowland. Baroque but magnificentky sad if well sung.
Nice coincidence. Though it makes sense that someone asking for sad songs might know and like Tenhi. Kuolesi jokeen, Etäisyyksien Taa and Saapuminen are my favourites. Now that I listened some memories arose and now I have to listen to the newer stuff they made. Thanks for reminding me Tenhi exist!