"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.
Then there are "She's Out of my Life", from Off the Wall. He even breaks down crying near the end.
Anyone who can sit through the music video of Earth Song (with all the images of slaughtered animals and the general air of the worst of humanity on full display) and not choke up with tears has simply got no heart at all.
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.
It's even more heartbreaking for one reason; all the time and effort the dancers, musicians, and crew put into perfecting their routines... And it was All for Nothing.
"Who Is It". Michael believes that his lover is cheating on him, having found a business card with the name "Alex" printed on it. Turns out that she's a high class prostitute who has her appearance changed for each client and that the card Michael found is hers, one of her many aliases. Towards the end, she escapes from her handlers and flees to Michael's house but it's too late, he has already left and when she begs to be let in Michael's employee just drops a handful of her name cards at her feet showing her that she's been found out. She's forced to return to her handlers, one slapping her for running off, before being having her makeup cleaned off so she can get back to work.
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.
In 2009, Michael Jackson died from Cardiac Arrest. The funeral service began on July 7, 2009. And you can't help but feel sorry for Paris Jackson (Michael's daughter). In 2011, Dr. Conrad Murrey was pled guilty and has lost his medical license.
At the end of Jackson's memorial service as his brothers carry away his casket "Man in the Mirror" plays without any vocals and soon after a stage light shines down on a single microphone on stage symbolizing his absence. This is followed up with two female fans, a young girl at Time Square and a woman at Gary, Indiana, tearfully watching the same scene on live television. 
The entire memorial was full of heart break and tear jerkering, from the eulogies given by old friends and loved ones (Stevie Wonder, Brooke Shields, ect ect), somber performances by multiple artists (including one by Usher covering "Gone Too Soon" and even approaching Jackson's casket and almost breaking down) and over all just a reminder that Jackson was gone.
The final speech involving Jackson's brothers is painful, Marlon Jackson in particular breaking down and asking Michael to give a hug to their stillborn twin brother Brandon. And then Janet was given a chance to talk...but instead allowed Paris Jackson, Michael's daughter, who could only muster up how Michael was "the best father you could ever imagine" only to cry into Janet's arms. It was then lead up to the aforementioned "Man in the Mirror" playing in the background on a single microphone, which adds more tears.