Hmm...let me see...
Sand and Water by Beth Nielsen Chapman (the whole album) has some pretty sad songs on it...and it only becomes worse when you find out her husband was dying of cancer when she wrote it.
Come To My Garden from the Secret Garden musical...the tune is uplifting, but half the song is the ghost of a mother singing to her kid.
Aubrey by Bread.
For Good from Wicked.
Someone already said "I'll Cover You (Reprise)" from Rent, didn't they?
Probably none of you will have heard of these, but "Faust", "Beauty and the Beast (Phantom's Theme)", and "Old Souls" from Phantom of the Paradise - basically Phantom of the Opera meets Faust in the 70s.
Wait, I've got it; the Casper soundtrack (written by JAMES HORNER). Several of the instrumental tracks on it are just astounding; beautiful, yet with a sad undertone in places, such as "The Lighthouse - Casper and Kat", "Fond Memories" and "The Uncles Swing/End Credits" (although that one's sort of uplifting at the same time).
And of course, Whispering Winds from the Original Land Before Time soundtrack. Heck, lots of the music in that pretty sad yet beautiful at the same time.