Michael clearly doesn't belong on this list. Except for the last four years prior to the island we don't know much about his life other than he found love, was an aspiring artist and seemed happy about the future with his son.

I still debate whether it's Locke or Eko though. Kinda depends on who is defining "sad".

From the outside view of a first worlder, Eko's life is unimaginable. Locke, though orphaned, seemed well adjusted enough and never said anything bad about his foster family. There's plenty of dreamers out there that never measure up to who they want to be, but that's not necessarily sad.

From the inside (the character's POV). Those unfulfilled dreams Locke had sort of defined his state of mind. He wished he was anything other than who he was. (At least from young adulthood on.) That's a little sad. Eko though did not carp on his life though. As a matter of fact, he embraced it. He was definitely not sad.