Lots of books have never left me, but these books made me feel very, very strongly at different times in my life:

Slaughterhouse 5, Kurt Vonnegut

Anne Frank’s Diaries, Anne Frank

The Doomsday Book, Connie Willis

A Child of God, Cormack Mc Carthy

Roots, Alex Haley

The Miserables, Victor Hugo

Oliver Twist, Charles Dickens

Hans Christian Andersens Fairytales are also generally horrendously sad. Especially The Little Matchstick Girl.