"Heal The World" from Dangerous. It's sadder now that he's gone.
"Gone Too Soon", also from Dangerous, is a song written for Ryan White, an AIDS victim (due to a tainted blood transfusion) who was also one of the earliest advocates for research and acceptance of those afflicted with it. He and Jackson were friends for a while. MTV played it after Jackson himself died. And people all over wept.
"You Are Not Alone" and "Earth Song" from HIStory: Past, Present And Future, Book I, "Man In The Mirror" from Bad, "Will You Be There" from Dangerous and "Cry" from Invincible. Made EVEN sadder when these songs (along with the aforementioned two) were played right after he was pronounced dead. "You Are Not Alone" is especially sad because it seems like he is singing it to himself.
In This Is It, the video for "Earth Song" has a little girl in a rainforest who dies trying to save a single flower from a bulldozer.
Disney Death: Might as well cry with relief. In an interview with the actress who portrayed the little girl, she mentions that in the actual concerts she was supposed to emerge to the stage, with the plant, alive.
For at least some of his fans, This Is It in its entirety is one big Tearjerker. This is as close to a Grand Finale tour as it'll get...and he never got to preform it live.
Also, "Ben". How much of a tearjerker this is may vary depending on whether or not you're aware that Ben is a rat. Not a scummy guy, a literal rat.
It is given even more poignant meaning after it was covered by Marti Webb as a tribute to Ben Hardwick, an infant who won a televised bid for a liver transplant, only to tragically pass away only a year after.
"Is It Scary". Especially for people who get made fun of because of their appearance.
The breakdown of "Morphine," from Blood on the Dance Floor: HIStory in the Mix where the Industrial Metal drums suddenly cut off and are replaced with an orchestra, while Jackson comes as close as he ever could to outright confessing his addiction to painkillers. Because it was on one of his later, less-acclaimed albums, no one really noticed it until his later work was being re-evaluated after his death... from an overdose on painkillers.
"They Don't Care About Us," The song itself is sad with it's message of being ignored and uncared about by the government, but especially so tied with the music video in Brazil considering how true it is. No one cares about Brazil until the World Cup rolls around.