Things sure don't start out on a happy note, do they? From the word go, everything in this poem seems sad, even the sky. We especially like the word "ashen." Can't you just see the sort of dismal, grayish misty night surrounding the speaker? It's easy to imagine how this could make his already miserable mood even worse.
She has seen that the tears are not dry on These cheeks, where the worm never dies, (lines 42-3)
These lines are literally dripping with sadness. The speaker imagines the goddess Astarte looking down on this world of death and misery, and taking pity on him. The image of cheeks covered with endless tears is powerful and definitely super sad. In this poem, like in a lot of Poe's poetry, human emotions have a way of taking over the entire world. It's not just that the speaker is sad; he is also living in a world of sadness. Actually, maybe that would make a good trailer for a movie about this poem: (Announcer Voice) "In a world of sadness, one man must find the tomb of his lost love…"
In agony sobbed, letting sink her Plumes till they trailed in the dust— Till they sorrowfully trailed in the dust. (lines 58-60)
Poor Psyche! She seems really bummed here. Actually, she seems like the portrait of sadness. That little bit about her angel-wings trailing in the dust especially gets us down. Don't you kind of want to give her a hug?
'Tis the vault of thy lost Ulalume!" (line 81)
The poem keeps us in suspense, holding off on letting us know where all this sadness is coming from. Finally, at line 81, Poe drops it on us. This is the big reveal, the moment when we learn that the speaker has been destroyed by grief for the lost Ulalume.
Then my heart it grew ashen and sober As the leaves that were crispèd and sere— (lines 82-83)
We started the poem with sad leaves under a sad sky, described with the words "ashen," "sober," "crisped," and "sere." Now that image comes back, but this time the sadness has spread to the speaker's own heart. We think this line really shows how horrifying it was for him to realize where he was, to remember the loss of Ulalume. If this poem started out sad, things have only gotten worse. That's trademark Poe. He doesn't want us to simply recognize the sadness, but to soak in it for a while, to almost enjoy it.