Greg Kot notices their widespread appeal:
Consider that of the nine best-selling songs of all time, most brim with melancholy, if not sadness and despair. Bing Crosby’s White Christmas, Elton John’s Candle in the Wind, Whitney Houston’s I Will Always Love You, Celine Dion’s My Heart Will Go On,– to paraphrase Elton, sad songs not only say so much, they sell really, really well. But do listeners really prefer melancholy music, and if so why?
He flags a study that offers some answers:
The researchers found that that sad music has a counterintuitive appeal – it actually makes people feel better. Sad songs allow listeners to experience indirectly the emotions expressed in the lyrics and implied by the (usually) minor-key melodies. The sadness may not directly reflect the listener’s own experiences, but it triggers chemicals in our brain that can produce a cathartic response: tears, chills, an elevated heartbeat. This is not an unpleasant feeling, and may explain why listeners are inclined to buy sad songs and why artists want to write or sing them.
The Dish 