In no particular order, some sad (or maybe not) stories that I like:
The Lily in Her Mane by Kobalstromo (oneshot)
Author by Kobalstromo (oneshot)
I Just Want You Back by StreakTheFox (ongoing)
Que Sera, Sera by Ponydora Prancypants (oneshot)
The Final Letters by P0nies (complete/two chapters)
Alabaster by DawnFade (oneshot)
The Rainbow Face Up - Rainbow Dash and the Frost Dragon's Challenge by shortskirtsandexplosions (onshot)
Nopony Needs to Know by shortskirtsandexplosions (oneshot)
Background Pony by shortskirtsandexplosions (complete/twenty chapters)
I Couldn't Wake You, Because You Can Never Wake Again... by Amber Wings (oneshot)
The Unread Letter by Shamus_Aran (oneshot)
A Puppet To Her Fame by Kaiden (III Acts)(WARNING: very dark (so very, very dark)/ and tragic;-;)