I'll second the Alkan op. 39 Funeral March, and add a Schubert-Liszt transcription. I can't remember the exact name of it but it is the first of three March transcriptions in a set Liszt did from Schubert (and they appear on a CD where Marc-Andre Hamelin plays the Paganini etudes). Well, the first one is a beautiful funeral march, and probably not too well known. Also, try some parts of the Goldberg Variations. Play them slowly and thoughtfully, and you'll find you can really get quite an effect. There is also the Op. 2 Scriabin etude in C# minor, or that other one Horowitz used to play in....Bflat minor I believe with the unconventional rythms. It is, I believe, op. 8 no. 9, but don't quote me. It's quite a good, thoughtful piece.
And, as opposed I am to playing conventional pieces (or at least, playing those pieces that are TOO conventional), I still think the second movement to the Pathetique--or even Appasionata--would have quite an effect.