David Gordon Green 's "Snow Angels” will break your heart. The layers of desolation in an upper-Midwest college town grow deeper and deeper in this adaptation of Stewart O'Nan 's novel, and its sadness continues to resonate long after the film ends.

As the film opens, a high school band performing Peter Gabriel 's "Sledgehammer” is interrupted by a nearby gunshot. Then, in flashback, we see the sorrow that led...