|A monkey chained to a kennel in the loft of a brewery bar.|
If you wish to make things sad, point out little details that give that kind of vague air. Oh, it doesn't need to be rain and sad refrains. It could be an abandoned doll left in its pram in a trash strewn alleyway. It could be a cute cottage with an overgrown garden whose windows are boarded over with patterns of graffitti. The signs of a romantic life matched against abandonment and decay.
These details are particularly helpful to horror where the strange placed among the mundane can better keep your players mentally off-balance, creating the sensation of a world where the rules are not as one would normally expect.
So how do you find these little details?
See them in the world around you. Keep your eyes open while a passenger in a car. Take your mobile phone out and take pictures of oddities spotted on the way. Ruminate on imagery. Think about it. Consider it. Then when you need something to draw upon, some strangeness to reinforce the world, you'll have it at your fingertips.