Need to be a little more specific, because 'saddest' could be mean various things depending on your view. The choices below are not my final atm, but are the first characters that popped into my mind.
Sad as in:
1. Pathetic, every attempt in their life is just a futile joke:
Uchiyamada Hiroshi from GTO (nothing goes right for this guy)
2. Depressing, their journey is a nonstop, downspiral freefall with no bottom:
Ryo Narushima from Shamo (life improves and never for the better)
3. Mournful, stolen by death, their passing is heartbreaking :
Saya Minatsuki, from Black Cat (love the character, it's so sad..)
4. Sorrowful, character struggles forth on a dark path into a beak future:
Gats/Gatz/Guts/Gutz (lol), from Berserk (reminds me of Batman)
5. Shameful, unable to stop their scandalous behavior or actions:
Oe Kintarou, from Golden Boy (guy is funny as hell)
6. Wasteful, character had tons of potential but the storyline flopped:
Chi, from Chobits (after the ending, you just had to tear your hair out)
Hope one of my choices covered your view
Imagination unlocks the power of freedom.