I knew something was up when the doors closed, but what was so special about the song besides it was sad?
Remember the episode where Cersei was describing what happened behind a song called 'Rains of Castamere'? That is the tune to Rains of Castamere.
Essentially, there was a family - House Reyne - who got too big and strong, thought they could stand up to the Lannisters. Tywin then killed every single member of that house - men, women and children, down all of House Reyne's generations, until not a single person was left from that House. Only thing that remained to mark the memory was Reyne's once mighty, ruined Castamere, where rain weeps over its skeleton.
Since it is a Lannister song, Catelyn immediately knew something was wrong.