Cat Stevens’ My Lady D’Arbanville (written for his then girlfriend [and much more recently Al Pacino’s baby-mama]Patti D’Arvanville but about a dead broad) comes to mind.
My Lady D’Arbanville, why do you sleep so still?
BECAUSE SHE’S DEAD BRAINIAC!
Also, Cat Stevens’ Trouble.
I’d like to put in another vote for Assemblage 23’s 30kft, the cover of Mad World by whoever that was on Donnie Darko (though the original Tears for Fears version is pretty depressing, too), and Pink Floyd - Wish You Were Here.
30kft wins the prize, in my opinion. It is one hell of a messed up song.
Mad World by Gary Jules was the one on Donnie Darko soundtrack. You can hear the whole thing on a constant loop on his site. Then after about 5 times you’ll want to fling yourself into rush hour traffic. Great song though.
Why are the ads all for Olivia Newton John CD’s?
And So It Goes by Billy Joel is another sad one. I vacillate between sad and want to smack him out of his self pity on that one, though.
Had forgotten about Linda Ronstadt’s plaint.
Eric Clapton’s song about his dead son.
What about that old song that goes:
It’s the last song, I’ll ever sing for you…It’s the last time that I’ll tell you just how much I really care, this is the last song…
And wasn’t there one about the light in hall or the window (and you just know that whoever is gone isn’t coming back to see that light or turn it off…)
Sarah Maclaland (sp?) can make me want to slit my wrists as well.
Don McLean’s Starry Starry Night (Vincent)
Joy Division’s Isolation:
A lot of The Verve’s and The Smith’s songs, too.
Ferron, “Ain’t Life a Brook”. Lyrics here:
http://www.ferrononline.com/discography/testimony/lyrics/aintlifeabrook.html
Also, every song on the Cowboy Junkies’s album “The Trinity Sessions”. Best album ever for listening to alone with bottle of whiskey.
How could I forget Ani DiFranco’s Untouchable Face ?
Tears In Heaven, by far, has got one of the most depressing songs because it was explicitly written for his 4 year old son, Connor who tragically died by falling out of an apartment window, 53 stories up. No metaphors, no fiction, just a dad who lost his son way before his time. Burying your own kid before you pass away yourself is probably one of the worst things you can ever experience, and Clapton took it a new level with this gut wrencher.
When you read the lyrics (or worse yet, listen to the song), you immediately start crying because Clapton questions his own worthiness to see (and acknowledge) his son again in a spiritual sense (or vice versa?). Either way, damn…it’s a crushing and painful hurt that you feel when listening to this song.
“Blood and Roses” by The Smithereens
I brought flowers in the springtime.
October, we were wed.
In winter time, the roses died.
[ LYRICS DELETED BY MODERATOR ]
How about Hank Williams’ You Win Again?
*This heart of mine could never see
What everybody knows but me
Just trusting you was my great sin
I just can’t go, Lord, you win again
*
The Chao brought up the Grateful Dead… How about Black Peter? A song from the perspective of a guy on his deathbed?
Just want to have
A little peace
To die…
Hey, if a bittersweet little ditty like Cat’s in the Cradle makes this list, then where the hell is Tom Traubert’s Blues (Four Sheets to the Wind in Copenhagen) by Tom Waits?
Now if you want actual depressing, it’s hard to beat Failure by the Swans. If you read the lyrics and haven’t heard the recording, be aware it is a dirge sung at about 25 bpm.
And if you’re looking for some music so soul-crushingly terrifying you will forget everything anyone ever told you about how good the world is, wait till after midnight, turn off all the lights, pump up the volume, and listen to “The Litanies of Satan” b/w “Wild Women with Steak Knives (The Homicidal Love Song for Solo Scream)” by… Diamanda Galas
Marmalade’s Reflections of my Life is still a fav of mine, depressing as it is…
I agree with many posted in this thread.
I find this song very saddening. You have to hear the music to believe it.
Chroma Key - Another Permanent Address
Please, please go to the Chroma Key website and listen to it. They have a Flash jukebox where you can listen to all songs in their entirety. Chroma Key is awesome anyway. Just please go listen to this song, at least! Click Audio, click the second album from the left - “You Go Now”, click “Another Permanent Address”. And no, I’m not paid to promote Chroma Key. I just like the music.
And another song about a plane crash that used to have me in tears every time I heard it. Another one you have to hear to believe. Haven’t heard it in years, though.
Of course I gave the wrong directions… :smack:
Click Audio. Click You Go Now, second album from the left. Click Play and then skip ahead a song.
I know you all could have figured that out on your own, but I like to be sure about things. 
I want to ensure at least one new person hears this song!
Several mentions of Pink Floyd songs, all good ones, but no mention yet of Time from Dark Side of the Moon?
I always thought it was a terribly bleak way to sum up a life, yet what has made it even more depressing to me as I have gotten older is how spot-on it is for the way many people live their lives: fooling around until they’re well into their 30s and then suddenly panicking…
Lou Reed, The Kids.
They’re taking her children away
because they said she was not a good mother
[ LYRICS DELETED BY MODERATOR ]
Honey, by Bobby Goldsboro, 1968. Wanna cry? Listen. 
Evanescence has a couple songs on the original CD “Fallen” that are pretty poignant as well, once you pierce the metaphors.
Elvis Costello and the Fairfield Four’s version of “That Day is Done” absolutely wrecks me every time, as does Jeff Buckley’s cover of “Hallelujah.” Also, “Wandering Stars” by Portishead.
Heroin by Lou Reed/Velvet Underground
Hungry (think that’s the title)–Temple of the Dog
Any “teen death” song, but especially Pearl Jam’s version of Last Kiss