The saddest story has to be... you guessed it, sad. It can be as long or short as you want, as long as it’s absolutely tragic and will have me in tears at the end (which is not too hard to do, anyway). You have to really make us care about the characters to make us care about what happens to them. Having a sad story isn’t about having everyone die; it’s about having us care about the people you’re writing about in the first place. OK, I think you get it.