The entirety of the Heroin Diaries album, but special mention to The Girl With Golden Eyes, which is about Sixx's experiences detoxing from heroin, which includes spoken entries from his recovery journal.
"Accidents Can Happen" and "Courtesy Call" are pretty sad too. "Accidents Can Happen" is about Nikki after he relapsed and started doing heroin again, in the form of a beautiful Rock Ballad. "Courtesy Call" is about what might be considered the "climax" of the book, Nikki's eventual overdose on December 23rd, 1987, exactly 363 days after the book starts. The dialogue before the final chorus only makes this song even worse, since it's supposed to be an employee at a hotel where Nikki stayed at the time, and Slash who finds Nikki in the bathroom, with a needle in his arm and no pulse. It doesn't make sense if you just hear the song without having read the book, but if you've read the book, the song becomes much darker.
The acoustic version of This Is Gonna Hurt
The acoustic version of "Alive".
Nikki's meeting with the fortune teller in THD. The fortune teller refuses to predict Nikki's future, saying he would be dead by the end of th we year anyway... Nikki breaks down crying, and after a while thanks the fortune teller for giving him a week more than he would ever have thought he'd have!