Personally, for maximum impact I'd go with some of the Romantic period composers - Dvorak, Mahler, Saint-Saens, Shostakovitch, Respighi, Ravel, and so forth. One note, I would avoid Dvorak's works, especially the symphonies - they're mostly upbeat IMO, and not very suitable for truly sad music.
I'm going to second Shostakovich's Fifth, movement 3. Lovely, lovely piece. The rest of the symphony isn't as good for "sad music" - too bombastic. You could check out some of Shostakovich's non-symphonic works as well, if you can find them. For some reason I'm thinking the Russian Easter Overture has something thing sad in it. Scheherazade might as well.
Mahler's Sixth Symphony is probably the paragon of sad music - it was once described as "life sucks and then you die", and is generally considered one of the most depressing symphonies out there. Give it a listen before you use it though - it's quite long, and it might not fit your tastes. Specifically, the third movement is bittersweet, the fourth is more dark and defeatest, the first is more loud and jarring, all IMO of course.
The second movement of Respighi's Pini di Roma (also may be listed as Pines of Rome) is pretty good too - it was written about pines near a graveyard, and a funeral march. Only problem is that it definitely leads to the fourth movement (one of my favorite pieces ever, to both hear and play) which is of an army marching down the Via Appia - definitely not what you're looking for. Again, give it a listen.
I'm not familiar enough with all of Ravel's work to give examples, but since he was primarily a pianist you should check out his work. It might fit the mood well.
Saint-Saens has a less heavy feel than both Mahler and Shostakovich (and Dvorak too, if you choose to look into that) and so that might be a little more appropriate. Again though, I'm not familiar enough with Saint-Saens to give examples. Something I intend to rectify soon.
You could pick up the soundtrack to
The Red Violin - that has some pretty good sad stuff on it as well.
I would definitely listen to anything before you use it though - often times a piece won't be exactly what you're looking for, even though it can still be considered sad. I would probably go with either Mahler or Saint-Saens if you're looking for classical music, but as always your YMMV.
No, I'm not a music geek
