Erm, this may well be crazy, but I've always thought Bulmer fit that bill. Happily, I have no assertions to back this view up.

Arial always fills me with despair.

I have a feeling your task may prove difficult. Expressing complex emotions like that depends a lot on context and personal experiences and memories.

I agree with Mark. I think the most you might be able to pull off is a vague and faint sense of "sadness", and only among some people - plus you'll certainly get other associations too (like elegance) in fact maybe more strongly.* The general traits I would look for are: narrow, small x-height, light, high waist, somewhat weathered finish, and old-fashioned terminals (like balls, but small ones). Maybe something that has an old French colonial air about it - a bit like this:

http://www.typophile.com/forums/messages/30/20897.html _
But taller caps, and daintier serifs.

* It seems like maybe traits that have strong tangible representations have a better hope than emotions (which are rarely associated with any physical form).

hhp

The "easy" way: grunge.

the cliche way: sloppy handwriting fonts

more personal associations: i think smashing pumpkins seriously damaged my view of victorian era faces. i associate the emotions of their music with the art they used on their albums, including victorian faces: Glorietta (Victorian Swash), Art Gothic, &c. so to me Victorian Swash = Melencholy (Mellon Collie, heh!)

This is pretty sad:

http://www.myfonts.com/fonts/ingrimayne/bringinthefrowns/

Mark, that's very sad in so many different ways... :)

I have an old book that is set in Latinskaya and I think it looks sad in a way. But then again - that might be just me.

A Couple typefaces based on Latinskaya:
http://www.myfonts.com/fonts/paratype/literaturnaya/
http://www.myfonts.com/fonts/paratype/quant-antiqua/

That is indeed quite sad. That "g" is pure glum.
I can think of some subtle mods that should make it
even more sad, like splaying the "M" less, raising
the bar of the "A", etc.

hhp