Miserable goes way beyond sad — it means absolutely wretched. Someone who's miserable feels absolutely awful.
If you were caught in the pouring rain, missed your own birthday party, and then got food poisoning, you wouldn't just feel bad. You'd be miserable — which means exceptionally unhappy. Victor Hugo's novel, Les Miserables ("The Miserable Ones"), is the story of people who live a wretched life filled with death and unhappiness. You might want to bring some tissues if you're heading to the musical!