Melancholy, dolorous, doleful, lugubrious, rueful, plaintive are comparable when they mean expressing or suggesting sorrow or mourning.
All of these words have, to a greater or less extent, weakened from their original meaning and are often used with a half-humorous connotation.
Melancholy may stress a quality that inspires pensiveness or sad reflection or awakens mournful thoughts or recollections which are not only not necessarily painful or disagreeable, but often agreeable, especially to the poetic or thoughtful mind.
The term more frequently applies to something which expresses or excites dejection or depression.
Dolorous describes what is lamentable in its gloom or dismalness or is exaggeratedly dismal.
Doleful and lugubrious are also frequently applied to what is exaggeratedly dismal or dreary, but doleful connotes a weight of woe and lugubrious, an undue, and often an affected, heaviness or solemnity.
Rueful implies sorrow and regret but it often suggests a quizzical attitude.
Plaintive applies chiefly to tones, sounds, utterances, or rhythms that suggest complaint or mourning or that excite pity or compassion.