well, baboons at least:
http://dsc.discovery.com/news/briefs/20060206/baboon_ani.html?source=rss
The article mentions that this is the first documented consolation behavior thought to be related to the death of a loved one in non humans, but I swear I read something about elephants behaving this way a couple of years ago. Anyone else remember anything about elephants? (the elephant never forgets...)