My favorite is probably The Damned - I Just Can't Be Happy Today. That songs helps me any time I need it.
Or from a different language - Falco's Jeanny, (I wonder how many people here know and understand the lyrics)
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The song which always touches me is Elton John's The Last Song. It's even Queen related because he wrote it shortly after Freddie's death with Freddie in mind. The song played over the last bit of the movie "And the Band Played On" showing all the famous people who had died from AIDS related diseases, the saddest few minutes of a movie for everyone who ever lost someone to AIDS.