If you are looking to make me instantly sad, then play me a song with a steel guitar coming in at the right moment on a slow song.
See "Pony" by Sara Watkins for an example.
Specifically when it comes in for the instrumental chorus, I get carried away on a cloud and feel sad.
Just in case you were wondering, that'll do it.
*This post brought to you by melancholy music, not actual sad circumstances.