I think the concept of mourning comes close to saudade, but it depends on the nature of that mourning. Too many qualifiers. Perhaps there really isn't a word in English.
madrugada
This is a word I had to do some research on! :) I'd never heard it. I think the closest words for it in English may be "The Witching Hours" - but that time before dawn "blue hour(s)" (In photography) - is a time that I really only experience when starting out on a long road trip, which is a rare thing for me.
They're magical, unless you're driving into the sunrise, then it becomes frustrating :P
On an unrelated note, in terms of "favourite words" - I've always like mayhap, the in between of perhaps and maybe. It sits playful, between prophecy and causality. I also like the word vulnerable, the way it comes off the tongue, the mouth shape, it feels fragile to say.
I like words. A lot!