(Note: I'm throwing together both the tragic and the drearily depressing under the heading "sad.")
1. Tess of the d'Urbervilles, by Thomas Hardy
I'm pretty sure this is the saddest book in the world. It is probably the least plausible of Hardy's endings but somehow more crushing than any of the others. I stared at a wall for like ten minutes after I finished it.
2. Revolutionary Road, by Richard Yates
They are, incredibly, making a movie out of this book. I think it's the most depressing one I've ever read. It falls under the "drearily depressing" category, but it's written beautifully and has a sense of honesty that makes it art instead of torture. Although it is certainly the latter as well.
3. A Tale of Two Cities, by Charles Dickens
Maybe it's manipulative, but it still gets to me. God, Sydney, don't sacrifice yourself for that worthless aristocrat!
4. Ethan Frome, by Edith Wharton
I haven't read The House of Mirth, but apparently that is even more depressing.
5. The Golovylov Family, by Saltykov-Shchedrin
The dreariest book in all of Russian literature, says Mirsky. One of the most awful sets of people ever to occupy a single book. It also has what is probably the most horrific suicide scene in all of literature.
6. The Sun Also Rises, by Ernest Hemingway
I didn't realize what Jake's injury was when I first read this book and it still depressed the hell out of me. Now that I know, it is both depressing and a little painful to think about.
7. The Professor's House, by Willa Cather
More subtly depressing than the other books on this list. A quietly brutal verdict on most people's lives.
8. Madame Bovary, by Gustave Flaubert
Maybe the most desolate last page of any of these books. Man.
9. The Emigrants, by W.G. Sebald
A set of stories largely about people who lived through the holocaust. Never cheap or manipulative, though.
10. Adolphe, by Benjamin Constant
I wrote a little bit about this book already. A harsh and sad little novel.