Guy Maddin made a movie called The Saddest Music in the World. Probably the saddest thing you’ll ever hear is Ornette Coleman’s funeral dirge, Lonely Woman. It is the sound of pure grief. Here are some differing examples.
Ornette’s album version
Metheny & Haden
John Zorn
Joe Lovano (with interruptions)
Some way out version by guys I haven’t heard of (part 1)
And here’s part 2
I couldn’t find the Kronos Quartet version, so here they are doing the Requiem for a Dream score
The saddest thing I ever heard was the applause interrupting a live performance of Lonely Woman by the Ornette Quartet