The saddest Bowie song, to me, is Five Years. When I first heard it, I cried like a baby.

No one has yet to mention Wild is the Wind or The Bewlay Brothers?

I always thought Sweet Thing was pretty sad, too.

And Dead Man Walking - any acoustic version. And Warszawa.

By the time you read this, I will be gone, having jumped (scratch that) having... plummeted... off the winter... river... bridge.

yeah! I agree with ya' there! Although, only the live versions of Five Years get my emotions running. Although I do love the sudio as well.

"I find freedom only in the realms of my own eccentricity"
-David Bowie

Perhaps not the saddest, but the darkest of Bowie's songs would have to include...
Sense Of Doubt
Subterraneans
Sound & Vision
Station To Station
A Small Plot Of Land

The saddest...
Word On A Wing
Strangers When We Meet
Five Years
Quicksand
The Bewlay Brothers

And the most erotic...? How about.....
Lady Grinning Soul ( Has he never performed this masterpiece live? If not, why not!)