Pat Benatar said it best: love is a battlefield. Though "Lord Randall" is about death, loss, and betrayal, it's also classic tearjerker about the consequences of love. The reason it's so sad is because it's got longing and misery all tied up together. Love songs about happy shiny people living happy shiny lives are all well and good, but more often than not, you just want to sit around with a pint of Ben and Jerry's and listen to something that'll really tug—or in this case, strum—at the heartstrings.
Lord Randall's statements that he is "weary," and eventually "sick at the heart" express sadness and resignation rather than resentment at his true love's betrayal, depicting love in a contemplative, rather than passionate, light.
Love hurts, and that's what "Lord Randall" is all about. No matter how you feel about someone, you never know when they're gonna up and poison your eels.