There is a really sad song called "Ruby" that is a plea by an injured vet to his wife. Kenny Rogers, a great story teller.
The saddest song I ever heard was the song "shape of a heart" by Jackson Browne, which chronicled his attempt to keep his girlfriend from killing herself - and his attempt to forgive himself once he failed. (The first three lines were "It was a ruby that she wore, on a chain around her neck, in the shape of a heart" which is what reminded me of it.)
But there's no end of really creepy songs out there*. "Baby it's cold outside" was notable because I strongly suspect it started out with no ill intent - but the passage of time means it's interpreted differently today.
* a few examples -
Kid Rock:
Young ladies, young ladies, I like 'em underage, see
Some say that's statutory - but I say it's mandatory!
New Order:
Please, I beg, don't do this to me
Johnny, don't point that gun at me
Can I save my life at any price?
(spoiler - she can't)
Leonard Cohen:
It is your turn, my beloved
It is your flesh that I wear
Alice Cooper:
While friends and lovers mourn your silly grave
I have other uses for you, darling