Melancholy is beyond sad: as a noun or an adjective, it's a word for the gloomiest of spirits.
Being melancholy means that you're overcome in sorrow, wrapped up in sorrowful thoughts. The word started off as a noun for deep sadness, from a rather disgusting source. Back in medieval times, people thought that secretions of the body called "humors" determined their feelings, so a depressed person was thought to have too much of the humor known as melancholy — literally "black bile" secreted from the spleen. Fortunately, we no longer think we're ruled by our spleens, and that black bile has been replaced by another color of sorrow: the "blues."