I know most folk ain't into classical but I can't believe no one has mentioned Adagio for strings by Samuel Barber, easily one of the saddest pieces of music ever, used to great effect in The Elephant Man when he goes to sleep for the last time, and in Platoon when Elias dies.
But for non classical I would have to say Gary Jules version of Mad World, you hear it at the end of Donnie Darko.
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