Why it's sad: Here we've got a heartache that seems to come from family and close friends rather than a lover. The main story of the song seems to be a narrator who has left the most important people behind. Maybe the love's not there, maybe they can't accept this person for the way they are. Regardless of what it is, you can really sense the loss.
The saddest lyrics: "Look what remains / Pour ashes where they claimed my name / They say I changed / But a pity if I stayed the same"