I always thought of "Small of Two Pieces" as very emotional and powerful, but not particularly sad. Another song I find really touching is also Jo Hisaishi's "Kimi o Nosete," which again, I don't know if I think of it as sad... just very emotional.
A really sad song I thought of was Tackey & Tsubasa's "Sotsugyo - Sayonara wa ashita no tameni," which translates to "Farewell is for tomorrow's sake." Basically the song is all about how saying goodbye is part of life and how two people must say goodbye for the future to move on.
From Blue Dragon, Kluke's song "Watashi to Mizu to Sora" (My Tears and Heavens) is also really, really depressing. It's basically about how enormous Kluke's sadness is. There's a tiny twinge of hope in it, but it's mostly about being sad.
And finally, there's FF9's "Melodies of Life." I find it sad, but also very comforting. Because it's about how the bonds people create in life and the memories that people give one another are truly eternal, and transcend death. I found a lot of comfort in that song through some rough times, so it's a special melody to me, personally. ^^
