Make that the oddest movie in the world, the one directed by that Guy Maddin from Canada. The title does, however, implicitly pose the question: what is the saddest music in the world?
I nominate Elliott Smith's eponymous album, the one with "Needle in the Hay" on it; Joni Mitchell, For the Roses; Jackson Browne, Late for the Sky. Also Tonight's the Night, by Neil Young; "Hallelujah," written by Leonard Cohen but sung by Jeff Buckley; "Little Wing," sad in all iterations; Rickie Lee Jones, Pirates and "Last Chance Texaco" (off her first album); Annie Lennox, "The Gift," "Two Grey Rooms" by Joni M.; Pink Floyd, Wish You Were Here; "Human Nature," but only (so far) as sung by M. Jackson (may he RIP); "Don't Talk," the Beach Boys; Paul Simon, Hearts and Bones.
Does the sadness inhere in the music itself, or is it because of the sad stories we attach to the music? For instance, I find all Nirvana heartbreaking (a form of soft-headedness my son-in-law ruthlessly condemns). I'm pretty sure, however, that I'd find "Hallelujah" devastating even if Jeff Buckley hadn't fallen into the river.
I remember lying on my bed as a teenager listening to sad music just for the pleasure of feeling sad. Long before Oliver Stone used it in Platoon, I used to listen to an old monaural recording that once belonged to my dad of Samuel Barber's "Adagio for Strings," for its waves of emotion, like an unstoppable sob.