I thought that Chopin's 3rd Sonata had some rather sad moments in the 3rd Movement.
I also find Mozart's slow movement from Nacht Musik pretty sad, especially considering its in a major key! Not sure if there is a piano version, but Id suspect so.
Wow, I have loads of sad pieces, but now that you ask me Im stumped!
Rachmaninov's Elegie has kind of dark sadness to it I think.
SJ