Favorite is relative, usually the one I'm listening to at the moment. But I keep coming back to the Okkervil River album, The Stand-Ins. It's a companion album to The Stage Names, about the losers and also-rans, so it's full of sad songs.

My favorites, though, are the last two:

Calling and Not Calling My Ex, about a man who stagnated after breaking up with his girlfriend while she pursued her career. (Rumored to be inspired by Will Sheff's relationship with Scarlett Johansen.)

Bruce Wayne Campbell Interviewed on the Roof of the Chelsea Hotel, 1979. Campbell was the first openly-gay rock star under the name Jobriath, and now mostly forgotten. He was manipulated and exploited by his manager/agent, and retired from music in 1975 to an apartment on the roof of the Chelsea Hotel. He died there of AIDS in 1983.