Two songs immediately came to my mind:
"Sugarmice" by Marillion (as suggested by lonestar)
is pretty, but "What to Say" by Enchant is just heart-wrenching. It's about a father trying to explain to his child that he is terminally ill...and Ted Leonard makes you feel the fathers pain.
I suggested both songs because they are very personal to me. Sugarmice is a sad song to begin with, a dad checking out on his kid and reflecting on it, but to have lived through it, it makes it that much sadder. Even in my seventh year of recovery, I still feel the pangs of what that song says, and the gaps that those moments left in both of our lives, gaps that will never be filled. I may be able to fight my way back into her heart, but I will never, ever, have it like I did when she was three. That is why that song is so sad for me. Daddy took a raincheck. I make no excuses, and take all responsibility, just a little to late.