Well, I'm not sure that D Minor is in fact the saddest key. When I was first learning music theory, though, I wondered if composers felt that certain keys "felt" different than others. I don't have perfect pitch (or a particularly good ear!), so I never really got an answer.
However, I can tell you that D Minor is a particularly popular key on the guitar. The normal tuning of a guitar is tunes the strings to E-A-D-G-B-E. However, when playing in D Minor (or D Major, for that matter), it is common to tune the bass string down a full step to D.
A great example of this is Miguel Llobe's "El Testament D'Amelia" which is a sad piece written in D Minor (http://www.youtube.com/watch?v=Wmgfy_hBJcg).
Also, one of my favorite pieces is Bach's Toccata and Fugue in D Minor, which I wrote a hub about (http://hubpages.com/hub/Bachs-Toccata-and-Fugue-in...