Salon has a look at why we are drawn to LOLcats, and particularly to sad LOLcats. They consulted New York Times cartoon editor Bob Mankoff.
The first reason sad lolcats can be so powerful, Mankoff suggested, is their comedic structure. The meaning of a lolcat is rarely straightforward -- rather, there's a punch line of sorts, a layer of meaning you have to think about for a moment in order to grasp. So the punch line, the same thing that makes the lolcat funny, is what makes it sad. You could call these tragic strips.
A second major factor in the poignancy of the sad lolcat, I would argue, is the use of animals. The comic form is generally a prophylaxis against sentimentality. By articulating profound feelings through cats and marine mammals speaking garbled English, we're able to shroud genuine emotions in pseudo-irony -- which means those animals can evoke deeper emotions without fear of mockery or cheapness.
Link -Thanks, Adam Stanhope!
(image credit: I Can Has Cheezburger)