I think maybe the saddest songs are: alone tonight,heathaze,please don't ask,since i lost you and fading lights. All those are good and beautful songs.
Open Door it's probably the saddest song ever written by Genesis. Any hope. Please Don't Ask is also a very sad song, one of those rare songs which can make me cry.
Afterglow, Fading Lights are for me, more nostalgic or melancholic, with a kind of "brightened darkness" in the conclusion or in the instrumental part, almost to say, it's sad but there's always something possible.
There are a lot of songs, starting from A place to call my own, and going on with Dusk, For absent friends, Time table ..... till to Fading lights.
But in my opinion the most sad one is Entangled.
For me it's 'Submarine', the dark & moodly instrumental followed by 'It's Yourself' for a vocal choice! Coincidently both of my choices are non-album tracks!