What music do you turn to when you're sad?
Blues. The real, raw, painful blues that will leave the words in your head for a week. John Lee Hooker's "Serves Me Right to Suffer," find your way from there. Could even go so far as BluesRock, Led Zeppelin's "Babe Im Gonna Leave You' Chet Baker's famous Almost Blue recording. Elliott Smith. Just look him up.
Okkervil River - On Tour with Zykos Really anything by Okkervil River, especially their albums 'The Stand Ins' and 'Black Sheep Boy'
The Antlers - Bear From the album 'Hospice'. I've never listened to another album that has resonated so deeply with me.
I don't think I have ever turned to music before when I was sad. When ever I felt a hint of sadness I needed something not only to keep me mentally stimulated but physically stimulated as well. I have always turned to working out; running , swimming and lifting for my escape goat
I turn to ambient music, and try to meditate my sadness away.
The Doors - Riders on the Storm And any of the slower Muse songs.
I really like Songza and their playlists. They have some great playlists catered for certain moods, such as one that I've been listening to recently, Hauntingly Beautiful. There are many more great playlists that are good to listen to when wanting something sad or depressed (as well as whatever other mood you may be in).
Somewhat related, is this past post of songs that make people cry.