Yes, the song "Gloomy Sunday" is in the movie. You can hear it at the very beginning as Oscar is preparing his suitcase. The song is playing on the local radio station.
> I was watching a documentary on oscar schindler, with the real life people
> in it, and i think it was helen hirsch that said at one of the party's at
> Goeth's villa, a german officer asked the jewish band to play the infamous
> 'gloomy sunday'song something like 5 times over, then he went outside and
> shot himself.