For those days which start with such clouds announcing the day, for those nights when the moon seems too bright, for those drops of rain which we yearn forever but never falls with enough speed, and for those walks which takes us backwards in memory, the is nothing like a soft, despairing tune humming in the background. A cheerful sonata would be as disturbing then as the bang of a metal crane crashing on a factory roof. Oops!
When I am feeling blue, I like to be alone and listen to music. Here is my personal bouquet of classical music brewing melancholy. (Links to Youtube videos).
Not really "classical" but this brings all my emotions out in front of me. One of the best. A violin piece by Nguyen Xanh Thao (some people claim it is from Final Fintasy X, though that has been debated). Everyone has their video before uploading to Youtube, so only bother about the music.
http://www.youtube.com/watch?v=JSnR80kY0m0
Beethoven's Moonlight Sonata. Right named for a wonderful composition to create the longing for moonlight to light you up, from inside. Look for the first movement, and look for a slower tempo interpretation; it is supposed to be played in Adagio. The third movement is also very sweet, a little on the romantic side.
http://www.youtube.com/watch?v=vQVeaIHWWck
Chopin's Funeral March. Need say anything more ?
http://www.youtube.com/watch?v=kyFyAqLtHq8
Barber's Adagio for Strings. One Youtube user commented:
"when you speak,dont make a sound,I liked the interpretation by Bernstein.
when you cry,look around,
to empty spaces all around,
life is hard
so it seems
when you are so alone.........
but not in dreams"
http://www.youtube.com/watch?v=Dx1lNyggrh4
Most of Chopin's Nocturnes. I have a whole box-set of them if you want to borrow. There are too many to list here. I personally do not find Beethoven matching with the gray-coloured clouds. he is too romantic to my ears; but your mileage may vary (try Beethoven's Appassionata).
There are more if you keep your ears open. If you have suggestions, please add them in the comments with links (only instrumental).
Good sources for classical music:
(1) Youtube, of course
(2) http://classicalmusicblog.com/
(3) http://www.kickassclassical.com