Special mention goes to the Still version of "Something I Can Never Have". Trent is actually crying by the last verse, and it becomes rapidly more clear what he's talking about in the song: while the Pretty Hate Machine version was a wangst anthem about failed romance, the Still version is about him reminiscing about his prior life and lamenting his fall into drug addiction. The "something I can never have" in that version is a normal life, free of personal problems, like he used to have.
Yet; he DID get out of drugs and alcohol, and managed to have a normal life with a wife; so right about now, I'd say Trent's got a moment of awesome, for beating out his earlier beliefs.
Pretty much all of Still is cry-yourself-to-sleep music, really.
The original "Something I Can Never Have" is generally sad, too.
"Hurt", especially in the context of the album — particularly because Trent's vocals are haunting. It only doesn't reach much Tear Jerker potential due to Last Note Nightmare... Johnny Cash's cover is even worse, causing Trent to say the song wasn't his anymore.
Probably the most heart-wrenching is the instrumental "Leaving Hope": Written when Trent Reznor was "at his lowest", it's a simple piece that builds up layer upon layer of soaring, beautiful, uplifting music, that dies away... only to give way to a mesmerising chorus of voices. Breathtaking.
This Troper like to think of it as "The Persistence of Loss" Part 2 do to it sharing the same melody as the last song,in which sometimes I thinking they are the same song.
"Zero Sum," which, if you follow the Year Zero timeline, is about the end of the world.
Since we're talking about Year Zero, Hour of Arrival, a letter from a government worker to his soon-to-be-born child (from the ARG), certainly qualifies.
Itís so stupid, Danny Jane. We get scared and our hearts dry up. Donít be scared. Please -God let me get home safe tomorrow and I swear I will quit my stupid government job and do nothing but fill you up with courage. I will take spiders out of the house for you, and buy you roller skates, and teach you how to catch crickets with your bare hands.
And this is to say nothing of the ending, which crosses this with Nightmare Fuel.
"In This Twilight" also near the end of that album, fits in that regard as well, doubly so since this was the final song the band performed at their final show in Los Angeles.
"La Mer". It was written by Trent at the low point of his depression, but it's not angry or angsty- it's just a quiet, resigned near-instrumental with a woman reciting a poem in French in the background.
"A Warm Place", especially at the end — when it starts fading into "Eraser" and you realize the brief glimpse of hope is over.
The slam cut from "Big Man With a Gun" to "A Warm Place" can be rather gut-wrenching as well when you understand what just happened in the context of the Concept Album- the character went insane and raped someone, then has retreated into his mind, the only place where he can find any sort of peace (and even that peace doesn't last, as seen above).
"Persistence of Loss"
Others songs with lyrics that fall under this include "The Day The World Went Away"(especial the "Quiet Mix".) , "The Great Below" (and its sequel, "And All That Could Have Been"), and "Right Where It Belongs"(V2 is even sadder, and more striped down).
And this is not my face, and this is not my life, and there is not a single thing here I can recognise. And this is all a dream, and none of you are real. I'd give anything. I'd give anything.
"Every Day Is Exactly The Same" doesn't sound like most other songs on this list but Trent sells it with lyrics like "I think I used to have a purpose but, then again, that might have been a dream". Anyone who has been through what the protagonist is going through can say how sad it is below the surface.
"All That Could Have Been" simply for the line "In My nothing, You were everything to Me".
"Lights In the Sky". Just Trent and his piano, with lyrics like "Watching you drown, I'll follow you down, and I am right here beside you". Also doubles as a Crowning Moment of Heartwarming, with its mixture of resignation and determination to stand by another's side even as the world ends (there are theories that this song and some others on The Slip continue or add to the Year Zero plotline in some way...).