TGBHF is for sure one of the saddest. As for eras a lot of the Joshua Tree and Rattle & Hum stuff is pretty depressing. I dunno, I find its not necessarily lyrics but the mood that is created. Hmm...
I don't know about saddest, but to me, Heartland has always been the most moving song...often if I try to sing along and am really thinking about the lyrics, I will get choked up.