The Trick Is To Keep Breathing, by Janice Galloway. It's like David Foster Wallace's "The Depressed Person" but the length of an entire novel. At the time that I read it, I didn't have this frame of reference, and couldn't make an easy, glib joke at its expense in order to minimize its impact.
For that matter, David Foster Wallace's "Oblivion" - in which appears the aforementioned story - is a bummer throughout, especially the first story about a very sad man working in a market research firm with zero ability to connect with his colleagues or indulge in his rather pedestrian fantasies.
Sad as in "literally causes me to weep" would be Truman Capote's "A Christmas Memory," a short story tacked on to the end of Breakfast at Tiffany's about a boy, his grandmother, and a balloon. I'm fortunate to have grown up with all four of my grandparents, three of whom are still living, one of whom raised me, all of whom mean the world to me, and I've yet to brace myself for life without them, even though I should.