Savatage's Dead Winter Dead is a Rock Opera about the Bosnian War. One of the characters is an old man who plays cello in a bombed out square, protesting the war with complete disregard for his safety. Unfortunately, he can only tempt fate so long before he's finally killed. His protest accomplishes virtually nothing, two other characters are saddened by his death and flee Sarajevo, but otherwise nobody notices or cares and the war rages on.
More or less the plot of The Pretty Things' 1968 Rock OperaS.F. Sorrow. All of Sorrow's friends are killed in World War I, his fianceť dies in a dirigible accident in front of his eyes, and is forced into a trip by Baron Saturday to the moon where Sorrow learns that his life has been, and will continue to be, meaningless. By the end, Sorrow is emotionally shattered and isolates himself from society for the remainder of his life.
The Vocaloid song Kokoro. A scientist (Len) builds a Robot Girl (Rin), but he can't figure out how to give her a "kokoro" (heart/soul), so she's stuck as an Emotionless Girl. He never quite solves the problem, and eventually dies; he seemingly loved Rin, but she was unable to feel anything for him, even when he died. Centuries later, Rin starts wondering about that "kokoro" thing, and accidentally uploads a prototype version of it into herself. She's suddenly overloaded with emotions, and finally discovers both joy in life and sadness over Len's death. She desperately wishes she could thank him for creating her. And then, as an afterthought that isn't even in the lyrics, the emotions fry her systems and she dies. Many music videos of it try to make the ending less ridiculously depressing by letting her see Len one last time and/or having them reunite in the afterlife.
The music video for "Highland Farewell" by Gravedigger. A teenage boy is taken from his parents, press-ganged into fighting in a battle, and dies. His parents cry over his body. The end.