I think it's way to hard for me to pick the saddest area in the game. So far every location listed so far has left some sort of emotional impact on me.
The sky garden and the neighboring flower building were the last areas i was able to visit on my frist playthough. The creature that constantly teleported away when you tried to intereact with it made me feel ignored and hated, and the people looking out over the city seemd lost and homeless.
Puddle world was also a big hitter. The refelections set a tone of gloomyness and the fact that madotsuki herself didnt have a reflection just nudged that feeling on more. (That or shes a vampire. Think about that /t/.)
Next on my list is the train/lake. I knew that i was being taken somehwere more tranquil and symbolic because of the quiet train ride. It made me automaticaly take a seat as far from the other little passenger as possible and i felt sad for both mado and him. When i got to the lake, the girls filled me with saddness and dread. They look like they're waiting. Each of them has lost someone who said they would come back but they never did, so they stayed and waited, eventualy all changing into the same facless girl.
Second place for me was the party in the desert. Normaly people would see this as "happy" and "fun", the change in mood being refreshing. When i found it, i felt uneasy, eventualy becoming sadness when i couldn't dance with them. So i just watched them enjoy themselves as i felt like a creeper hiding in the shrub.
The saddest place for me though is Mars. The small little room with the crying blob actualy made me cry. The music, the imagry, and the all-over feeling was a punch to the gutt. I felt sorry for the creature so i stabbed it, only to hear a pained cry and discover it cant die. That was the final straw. Knowing that it would have to live in a small damp room all alone with no companionship (which it seemed to long for) made. Me. Cry. Leaving the basement of Mars to be the only area in the game to make me do so.
TL;DR. Stuff makes me feel things. And feeling things makes me feel sad.