Gray Matter is full of sombre, bleak tunes that really get to you. They're amazing on their own, but they work especially well in the game because, well, it's fucking amazing. The characters are probably the best non-abstract characters I've ever encountered in a game. Jane Jensen and Robert Holmes are a magical pair.
A lot of it, like these two, aren't really sad, but they're definitely emotionally potent:
But near the end, after a certain sad scene, this started playing and nearly brought me to tears: