It has been a while since I have read any of these, so I can't promise they are extremely sad. Most should be though.
[You must be registered and logged in to see this link.] (I cried when my roommate was in the room.)
[You must be registered and logged in to see this link.] (Read if you don't mind a few OCs and slightly longer stories.)
[You must be registered and logged in to see this link.] (Not set in Equestria, but it has the princesses and seems to be winding up to a sad end.)
[You must be registered and logged in to see this link.] (Not exceptionally sad, but easily one of the best changeling fics ever.)
[You must be registered and logged in to see this link.](Not entirely sad, but it is a great alternate universe dealing with the Nightmare Moon incident. Worth a read!)
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