This is another odd/hard one, so I'm going to post a couple:
Dashboard Prophets - "Ballad For A Dead Friend"
Oddly enough I heard this song for the first time during an episode of Buffy the Vampire Slayer. I know next to nothing about this band and wasn't surprised that every video I found on youtube of it had something to do with some television show that had extremely dedicated fans that make fan videos. Don't ask me why, I just wasn't. Anyway this song always makes it into my sad bastard playlist. It's really the perfect song to feel sorry for yourself to.
Incubus - "Love Hurts"
It's very Junior High of me, but in the recent past I was often sad or at least bummed out because of this one guy I knew. We both really like Incubus. So when I was sitting around moping about this one guy I knew, this would be a song I'd listen to. Quelle immature. And no it's not who you think it is. Or maybe it is who you think it is. I'll never tell.
Bush - "Out of This World"
Another song I heard for the first time during an episode of Buffy. Seems odd, given what I do for a living, but Bush isn't really a band I listen to much, and this wasn't a radio single. Anyway this is pretty good sad bastard music. I listened to this a lot when I first got up here to Chico, on my iPod at night next to the pool.