Aimo, the Macross Frontier soundtrack, NOT the battle version. Even though half the lyrics are supposed to be in an alien language or something, and don't really mean anything, and the other lyrics aren't sad, it's the tune, Megumi Nakajima's voice, and the elaborate off-vocal score, it's just so beautiful and sad. (Unfortunately all the music can only be heard with speakers. Though headphones are ok.)
Witch by Megurine Luka (with vocals by a lot of other vocaloids.) The story is sad, but smilier to Aimo, the collective music has impact. You have to check out both these songs!
Inexplicably, Kokoro (the Rin and Len mixed version) made me tear up. Half the vocaloid songs are tragic and I've gone through them fine and this is the one which makes me tear up, and the same thing happened to my friend Nilu-chan. I suppose there's some deep psychological reason for it and I don't know myself well enough :P