I’m reading The Road by Cormac McCarthy. So far it is relentlessly depressing, but so brilliantly written that I can’t stop reading it for long. I read it until I can’t stand it any longer, then put it down, but it calls to me and I end up picking it up again. Have you got any books like that?
There are books that have ended so depressingly that even though they were a great read, I’ll never read them again (and I reread books millions of times): Odd Thomas by Dean Koontz, and A Prayer for Owen Meany. 
What Came Before He Shot Her by Elizabth George is brilliantly written, but I bookmarked it 18 months ago, and can’t find the heart to pick it up again.
American Psycho, Bret Easton Ellis
Mysteries, Knut Hamsun
Suttree, another McCarthy downer
Fortunate Son, Walter Mosley.
All Quiet On The Western Front ; I think this one speaks for itself. I always consider picking it up again but everything about it is so tragic.
Boys and Girls Together by William Goldman (author of The Princess Bride and Butch Cassidy and the Sundance Kid). He has a nasty trick of writing sympathetic, funny characters and then doing terrible things to them.
Hang in there. It’s not my favourite of the series, but worth reading. Then you can start Careless in Red.
The Virgin Suicides by Jeffrey Eugenides
It took me a few days to get through it, because of real-life obligations, but that whole time I was so wrapped up in it, and bothered by it, that I barely spoke to my husband, and I was just depressed. Had it been a longer book, he may have had me committed (and I’m only slightly exaggerating… his dad is a psychiatrist, and my husband threatened to make me call him!) I had to read some Terry Pratchett, I think, to get me out of that horrible funk.
It was a great book, but I don’t know that I’d recommend it to anyone just to spare them the grief.
I Know This Much Is True by Wally Lamb
The whole time I was reading it, I felt this whole oppressive heaviness in the air - but I kept pushing to the end, hoping to find some sort of resolution.
The co-worker who lent it to me said, “It’s an Oprah book - all her picks are like that.”
Haven’t read an Oprah choice since.
Black Lamb, Grey Falcon by Rebecca West
It’s a narrative of the author’s trip through Yugoslavia prior to WWII. A look at the Kingdom that was, and the hope and grief she saw for the people there. All of which was lost under the traumas of WWII, and what followed.
Before I read this book, I used to think that the Russians were the Poor, Damned Bastards of History, because they’d get so close to getting things put together into a rational manner, then someone would come around to knock down the whole deck of cards. Now I believe that it’s the Balkans peoples.
I’ve also just started Charlie Wilson’s War. And the knowledge of what comes after the book is gnawing at me. (Not 9/11 - the ten years of civil war in Afghanistan following the Soviet pull out, and the mess that’s there today. 9/11 is just one small fraction of that.)
A Canticle for Leibowitz by Walter Miller.
Amazing book, but I never want to read it again-- it was like a punch to the gut.
Flanders by Patricia Anthony. I’m pretty sure a Doper recommended it – koeeoaddi, maybe? It’s one of those books that you’d like to recommend but you hesitate, because it’s such a downer.
McCarthy’s Blood Meridian was like that for me – relentlessly grim, nihilistic, desolate and brilliant.
All Quiet On The Western Front - The quintessential Anti-War Story.
Things Fall Apart - This one is sadder on the second read.
Was by Geoff Ryman.
Take a well known and loved story (the Wizard of Oz) and make it turn out to be about a girl who was molested over the course of many years by Uncle Henry and rejected by Aunt Em out of guilt for not intervening. Throw in some suicide, time in an asylum and AIDS and you’ve got yourself one big laugh-a-minute.
Johnny Got His Gun. From Wiki:
Anything by John Irving. The man is a good writer, but his plots are pure insanity.
Len Deighton’s SS-GB. An absolutely brilliant story about Britain under Nazi occupation, having lost the Battle of Britain and been unable to fend off Operation Sealion.
It’s unputdownable but also depressing and frightening at the same time- it’s scarily real and I spent the entire novel thinking “My God, this really could have happened… what did we so narrowly avoid?”