A book that makes you sad...
One that stands out is We the Living by Ayn Rand.
Now, I am not one of those crazy obsessed capitalist lovers of all things Rand. In fact, her philosophy and visage creep the hell out of me. But when I was a freshman in college, I decided to pick up her first novel. While it does have the strong anti-communist feel Rand is famous for (understatement), I feel that its philosophy isn't overt or offensive. (Keep in mind I'm writing these opinions 10 years after I read the book.)
The reason this one stands out in my mind is because it's the first (perhaps only? I can't remember) book that I actually shed tears during. I don't want to give too much away, but there are some wretched happenings in this book that just broke my little heart.