Are they any books that you've read a million times because every time you feel just plain sad you open them?
For example, mine are I'd Tell You I Love You But Then I'd Have to Kill You by Ally Carter, Harry Potter, or any of the Tortall books by Tamora Pierce.
Have you read Gaiman's short Forbidden Brides of the Faceless Slaves in the Nameless House of Dread Desire? That's a good one (though perhaps a bit strange to be a comfort story, haha)
my comfort book is The Hitchhiker's Guide to the Galaxy by Douglas Adams, its funny, so it cheers me up