The Collaborative International Dictionary of English v.0.48:

Elegy \El"e*gy\, n.; pl. Elegies. [L. elegia, Gr. ?, fem.
   sing. (cf. ?, prop., neut. pl. of ? a distich in elegiac
   verse), fr. ? elegiac, fr. ? a song of mourning.]
   A mournful or plaintive poem; a funereal song; a poem of
   lamentation. --Shak.
   [1913 Webster]

WordNet (r) 3.0 (2006):

elegy
    n 1: a mournful poem; a lament for the dead [syn: elegy,
         lament]

The Devil's Dictionary (1881-1906):

ELEGY, n.  A composition in verse, in which, without employing any of
the methods of humor, the writer aims to produce in the reader's mind
the dampest kind of dejection.  The most famous English example begins
somewhat like this:

    The cur foretells the knell of parting day;
        The loafing herd winds slowly o'er the lea;
    The wise man homeward plods; I only stay
        To fiddle-faddle in a minor key.