The odd thing about sad songs is that they can be happy songs as well. That song that meant everything good with the old girlfriend can make you cry with the opening notes today.
Sometimes that sad song can indicate an upcoming hope, or desire to to climb out of that sad situation. I've always believed that without the sad stuff, we'd never appreciate the good stuff.
Everything ever created by man has been made so by some driven need he didn't have.
Or, to impress a girl.
It's always about something that he doesn't have, and has to work to achieve. Sad songs are the stuff that fuel our dreams to become reality.

Personally, I don't cry because of songs. For me, it's movies. Specifically Christmas movies. I've cried at the end of every version of "A Christmas Carol" I ever saw, including Bill Murray's "Scrooged".
And, <snif> The Nightmare Before Christmas.
<ulp> Yeah, even 2003's Elf.

* note for the ladies - If you didn't feel "included" with the above, please understand that it was in no way meant to be sexist. Feel free to exchange all masculine refrences above to the feminine equivilent. (boy=girl, etc).
Also, I'd like my non-Christian friends and visitors to know that my personal teariness about Christmas movies ("Holiday movies", as you call them) is not to be taken as any attack or affront to your personal faith or religion, or lack thereof.
-Music Guy