The saddest of all animals is the panda. He has no friends, no family, and no future. Therefore, a sad panda is the saddest of the sad. This term is used as an adjective or exclamation to describe moments of sadness beyond sadness but the utter depths of existential angst and isolation.
Sister: "My dog just got hit by a car..."
Brother: "That's so sad panda."
Friend: "I just failed my Geometry final and I studied so hard, too."
You: "Sad panda..."