The Sixth Station, Spirited Away:
Not exactly "sad" in my opinion, but I think it depends on your current mood when listening to it. One of the most beutiful scenes I've ever watched, btw.
Exile, by Enya:
Loreena McKennitt, Carrickfergus
EDIT: I forgot!
Loreena McKennitt - The English Ladye And The Knight
Damn, if this is not a tragedy, I don't know what it is then ;_;