What does "our sweetest songs are those that tell of saddest thought" mean in Shelley's "To a Skylark"?

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The line you are referring to is more easily understood in the context of the full stanza.

We look before and after, 
And pine for what is not: 
Our sincerest laughter 
With some pain is fraught; 
Our sweetest songs are those that tell of saddest thought.
Earlier in the poem, the speaker was describing the cushy life and carefree joy a skylark experiences. Now the speaker is contrasting what it means to be a skylark with what it means to be human. Unlike a skylark, humans are without the ability to ever be entirely overflowing with happiness at all times. We will always look at the past and the future, wishing we had what we do not -- it is quite an awful fate compared to a skylark's lot in life.
 
However, it is not all bad. In the next stanza, the speaker explains that if humankind could we would put aside the things that make us miserable in life. 
Yet if we could scorn 
Hate, and pride, and fear; 
If we were things born 
Not to shed a tear, 
I know not how thy joy we ever should come near. 

The only catch is that if we were born to never feel sadness, we would thus never come near joy as exuberant as the skylark's joy. Without sadness, how would one know joy? Without pain how would one know comfort? 

Our sweetest songs are those that tell of saddest thought because without intense sadness we would never know intense happiness. For instance, every hero must go through pain and trials to reach their goal and be victorious -- the victory would be far less sweet if they had suffered less in trying to attain their goal. 

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The full stanza reads:

"We look before and after,   And pine for what is not:   Our sincerest laughter   With some pain is fraught;  

Our sweetest songs are those that tell of saddest thought."

The speaker refers to the inherent dichotomy of life: to know joy, we need to know pain. To know know sweetness (think of the paradox of Juliet telling Romeo "Parting is such sweet sorrow").... Ergo, the most beautiful songs contain some element of anguish, perhaps not textually, but in tone or implication.

"If we were things born   Not to shed a tear,   I know not how thy joy we ever should come near."
Human life is "fraught" with tragedy; out of such events, or in comparison to such events, our greatest moments of happiness (or other contrasting emotions) are possible.        
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What is the inner meaning of the lines "Our sweetest songs are those that tell of the saddest thoughts" written by Percy Bysshe Shelley?

Like many of the great Romantic poems, "To a Skylark" possesses a remarkable coherence, by which we mean that all of its parts relate to the whole. One can take a single line, such as this one, and see its relation to the whole poem's meaning.

Looking at the dramatic situation behind the poem, the speaker hears but does not see a skylark, and he contemplates the music this bird makes. The long lines themselves seem to offer a coherent line of thought; each a sentence in itself, they can all be read apart from the short lines, which offer a more introspective meditation on poetry, sadness, and transcendence.

This particular line claims that humans produce the sweetest expression in song or poetry as a result of thinking on human sadness. Unlike us, the skylark sings a purer and more untarnished song of joy:

We look before and after,
And pine for what is not:
Our sincerest laughter
With some pain is fraught;
The line compares the nuance of human joy and sorrow with that of the natural world, which need not meditate on death, pain, or loss. The poem ends with an appeal for the bird to teach the poet how to "sing" as it does, so that he can teach the world the same lesson that he derives from the skylark's song.

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