The Book Thief - Markus Zusak
1984 - George Orwell
The Great Gatsby - F. Scott Fitzgerald
Cat's Cradle - Kurt Vonnegut
Flowers for Algernon - Daniel Keyes
Perhaps The Shadow of the Wind by Carlos Ruiz Zafon, although I didn't love that one.
For some reason I can think of a lot more sad childrens' books than adult books.