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 fianceé 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 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 the scientist'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 the scientist one last time and/or having them reunite in the afterlife.
The official prequel song "Sayonara Arigatou" makes the whole thing sadder: the scientist (Gakupo) had been lonely his entire life, but building Rin helped him get his "heart" back, so to speak. He tries to repay the favor by building her a heart of her own, but by the time he's got a prototype down, he's too old to finish the project. He dies without ever managing to properly thank Rin, and spends his last moments begging for a little more time to see her finally smile.
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.
This happens at the end of Rush's 2112 suite. The protagonist, realising how much of a crapsack world he's living in, kills himself. Then, almost immediately, the tone of the song changes and we soon hear "attention, all planets of the Solar Federation; we have assumed control." Word of God states that this is the cavalry, the "good guys" coming to save everyone from the dystopia of the Priests of Syrinx... after the protagonist has killed himself in despair.
Elvis Presley's "In The Ghetto" from From Elvis in Memphis a boy is born in poverty, lead to a life of crime and gets murdered. And while this happens "another little baby child is born in the ghetto", proving that this kind of situation will keep on occuring in the future if nothing is done about it.
Julie Brown's "The Homecoming Queen's Got A Gun" plays this for (admittedly dark) laughs. After the titular homecoming queen is fatally wounded, ending her rampage, her best friend asks her why she did it. Before she dies, she gasps out "I did it for Johnny." This would probably have been more informative if the friend knew who Johnny was.