Sorrow is a feeling of immense sadness, like the sorrow you would feel if your best friend suddenly moved across the country.
Sorrow is an almost unbearable sadness. In fact, it is often used as a synonym for grief. If you drop a pretty picture frame and it breaks, you might feel sad. If, on the other hand, your entire house — including that picture frame — burns to the ground, you will feel sorrow at the loss of everything, including the photographs and other mementos you can never replace.