Tough to narrow things down to 'most bleak/sad' song... but, was going to say that M Gira/Swans made a career out of writing bleak/sad music, and figured someone would have posted something by him already. In addition to God Damn the Sun, just about the entire Drainland album will likely fit that description. Especially You See Through Me and Blind - the bookends of the album, as it were.
Scott Walker's work over the last couple of decades can get pretty bleak, as well.
Outside of the (loosely) pop spectrum, I really enjoy Gorecki's minimalist work - Miserere, especially. Tchaikovsky's Pathetique, and Gregorio Allegri's Miserere Mei are a few of my favorites... real mood-changers, if that is what someone is looking for.
I am not a religious person, but often find some of the darkest and saddest, and most powerful, art is directly influenced, in one way or another, by religion.