Just an orchestral work? What about the piano?

Firstly, I like Mendelssohn's violin concerto in E minor and his lyrics (piano works).

Mozart's Symphony No.40 in G minor, Symphony No.25 in G minor and Violin Concerto No.5 in A minor;

Pyotr Il'yich Tchaikovsky's Symphony No.6 Pathetique;

Brahms' fourth symphony;

Beethoven's violin concerto no 2 in d major, movement/kloc-0;

Chopin Waltz (also a piano work) No.2 Waltz in Op.69 minor and No.2 Waltz in A minor.

* * albinoni Adagio (not only sad, but also gloomy)

Vivaldi Violin Concerto "Four Seasons"

The music marked with * * is the one that best meets your requirements.