"Shannon's Funeral" is an orchestral piece on the Season 2 soundtrack. It plays during a few scenes related to Shannon's death.
The survivors hold a funeral for Shannon. Sayid speaks, trying repeatedly to describe how the crash brought them together, but he repeatedly breaks up. He says that he loved her before leaving. Jack takes over, and the rest of the survivors pour dirt over her body.
Full list of appearances
Boone considers his feelings on hallucinating Shannon dead. ("Hearts and Minds")