Oedipus at Colonus by Sophocles (406 BCE)

When you are thinking about the Oedipus trilogy specifically and Greek tragedy in general it is hard to say which play is sadder than the others, but for some reason, of the Oedipus stories, this one is a downer (which is not to say that 'Antigone' is a light play, but this one really shows just how messed up Oedipus' family has become, and that the ties of family are not strong enough to overcome other pervasive human emotions, like jealousy, pride, grappling for power, and to some extent, severe sibling rivalry).

The play opens with Antigone, Oedipus' daughter, and he in a sacred ground outside of Athens.  Oedipus is at the end of his life, and while it has been more or less a disaster, he is unwilling to admit that or repent, which has led to some difficulties with his legacy.  The prophesy that the city where his bones rest has led to some haggling over his body between Theseus and Creon.  Theseus wins in the end, but again, the whole tug of war over an elderly blind man is a bit of a downer.

Then there is the schism with his two sons.  One of them has usurped control from the other, and Oedipus not only refuses to take sides, but he renounces them both.  They are behaving badly, there is no question about that, but then he wasn't what you might call the model parent.  Not to mention that their mother committed suicide upon learning that she was their mother and their grandmother.  The play ends with thunder, signifying his death, but not the end of the difficulties for his family.