Lyrically speaking, it'd be appropriate to say any song, save Still Remains or Cinnamon.
Dead and Bloated, death is sad
Sex Type Thing, control and abuse of power is sad
Wicked Garden, exploiting women for virginity is sad
Sin, going crazy is sad
Naked Sunday, his portrayal of organized religion is sad
Creep is sad
Piece of Pie, no letting him be your man is sad
Plush, dead girls and failed relationships are sad
Wet My Bed, wetting your bed and not finding Mary is sad
Crackerman, needin a fix is sad
Where the River Goes, wishing you were stronger and wanting to know the rent in heaven is sad
I could go on
