"Gimme Shelter" is dark and moving or outright tear jerker, but listening to the wails of Merry Clayton mixed with the grim lyrics is enough to incite some form of dread in anyone.
"Shine a Light" - the band's tribute to Brian Jones after his death. To those not aware of this inspiration, "Shine a Light" plays as being not particularly dark or sad, but still very moving, especially the beginning, coming out of the equally moving "Let It Loose" as Exile comes to a close. Something about the gospel air there is to it and that sort of reflective nature of the lyrics makes it stick out. Nonetheless, it's in a major key, and the lyrics never explicitly mention Jones' death, so the full emotions behind the song may not be evident to those not familiar with its Reality Subtext. To those aware that it was a tribute to Jones, however, it's probably one of the saddest songs on the album.
"Sister Morphine", probably especially so to people who have lost loved ones to drug addictions. It's a coin flip as to whether the Stones' version or Marianne Faithfull's original (she co-wrote it with Jagger and Richards, but recorded her version first) is more harrowing.
Sweet Cousin Cocaine Lay your cool, cool hand on my head Ah, come on, Sister Morphine You better make up my bed Because you know and I know In the morning I'll be dead Yeah, and you can sit around, yeah, and you can watch All the clean white sheets stained red
"Living in a Ghost Town", their song written in response to the COVID-19 Pandemic, reflecting on how all life seemed to have stopped altogether.