For a long time, I would’ve said it was Kansas’s “Dust in the Wind,” which goes on and on in excrutiating detail about just how brief and pointless life is. Then I heard that golden oldie, Carly Simon’s “That’s the Way I’ve Always Heard It Should Be,” an anthem to anomie and alienation that’s so dreary and pessimistic I wanted to slit my wrists on the spot.
What gets your vote?
There are loads of them but first to pop into my head is Seasons In The Sun.
Shannon is pretty depressing, about his Irish Setter drowning…
“All by myself…don’t wanna live, all by myself…”
Where’s the razor?
“Patches” by Clarence Carter
on 2nd thought, “Ode To Billy Joe” by Bobbi Gentry
“The band Played Waltzing Matilda” by The Pogues.
Elvis Costello’s All This Useless Beauty, Allison, and Poor Fractured Atlas.
The Beatles’ Elenor Rigby should be on the list.
It may not be the most depressing, but it’s in the running…
Gilbert O’Sullivan’s Alone Again (naturally)
Depends on how you define depressing, but the saddest song ever is the Cowboy Junkies version of “I’m So Lonesome I Could Cry.”
Radiohead Creep and the cover of Mad World on the Donnie Darko soundtrack.
I have learned to turn sadness into anger (it’s good emotional fuel and a quick & dirty way to avoid depression), so hearing either of those songs makes me want to break things.
I don’t know if I’d exactly classify them as rock or pop, but a couple of John Prine’s songs come to mind:
Sam Stone:
There’s a hole in daddy’s arm
where all the money goes.
Jesus Christ died for nothing
I suppose.
Hello In There
Well, it’d been years since the kids had grown,
A life of their own left us alone.
John and Linda live in Omaha,
And Joe is somewhere on the road.
We lost Davy in the Korean war,
And I still don’t know what for, don’t matter anymore.
The Ballad of Lucy Jordan, by Shel Silverstein
" … At the age of thirty-seven she realised she’d never
Ride through Paris in a sports car with the warm wind in her hair
So she let the phone keep ringing and she sat there softly singing
Little nursery rhymes she’d memorised in her daddy’s easy chair … "
Gonna bathe and shave and dress myself
and eat solo every night
Unplug the phone, sleep alone
Stay way out of sight
Yeah, it’s kinda lonely
Yeah, it’s sorta sick
Being your own one and only
is a dirty lowdown trick
One Man Guy
Loudon Wainwright III
Cheers me up no end 
If I wanted to be made depressed I’d just listen to the charts.
That was going to be my suggestion. I mean, has there been a more frank look at suicide in the Top 40?
The Carpenters’ Goodbye to Love. Not the most depressing song ever, but it’s certainly up (or down) there.
Ben Fold’s Five “Brick.”
http://www.birdsnest.com/catcrad.htm
Fathers & sons who never quite connect comes a little too close to home to suit me. 