That’s a good one, but I dislike manly men songs that never release their true angst. It still feels depressing because you can tell the character behind the singer is trying to express a heartfelt emotion, but is too shy or macho to actually let it hang out there in the open.
That’s my opinion anyway.
First Christmas (Away From Home) by Stan Rogers. Actually, he had a bunch of depressing songs, but I was listening to this one today.
Close, so close.
Try this for a real bullet in your head, Fancy
Let’s prostitute your daughter for fun and profit.
I agree, but depressing in the “Ohh God when will this song end??!” way
Connie Francis’ I Will Wait for You is pretty high in my “depressing” playlist, for reasons any Futurama fan will understand. I can barely listen to it.
Same with Song for Ten from the Dr. Who soundtrack, which is sad to begin with, but…my own dog just died around the time I got this one. God damn it… 
Within Temptations’ Somewhere is a more modern, if somewhat girly, example. It doesn’t help that the first place I heard it was in an (also fairly girly) Anime Music Video for a series called Full Moon o Sagashite, which I’ve never seen, and don’t ever plan to, but just the wikipedia synopsis of it makes me want to blow my brains out (to say nothing of the video. augh).
And, of course…Vesti la Giubba. (aka, the international anthem of Sad Clowns)
No votes for Radiohead yet?
How to Disappear Completely still gives me shivers after all these years.
And I’m pretty sure I cried the first time I heard True Love Waits.
My winner for this topic is always going to be Suzanne Vega’s The Queen and the Soldier.
A couple of runners up would be:
Leslie Fish’s song version of Rudyard Kipling’s Birds of Prey March. I love this song, so bleak, and angry, and bitter, and sad, and the music is such a cheerful march.
Sailin’ Away by The Serendipity Singers
The folk standard, “In the Pines” or as I’ve sometimes seen it called, “Black Girl.”
I am surprised that bufftabby has nominated “Amazing Grace.” I’ve always considered it a happy song. Gut wrenching, but happy.
Gilbert O Sullivan - Alone again, naturally.
When this came out during the '70’s it was on the radio a lot, and just seemed like a simple pop ditty.
Roll on a few years and listen to the lyrics, and it turns into a terribly sad, dark, almost bitter song, the slightly jaunty beat belies the sadness.
Eleanor McEvoy
Depends on where you have been in your relationships, but this can bring out the tears.
Richard Thompson - cheerfully acknowledges his ‘doomwatcher’ tag. You can pick out a couple of dozen of his songs, here’s just one.
Waltzing for dreamers
…and for all you guitarists out there, check out his guitar solo that’s on Youtube.
How about death for fun?
are you listening Kurt ?
Close, but “Lost Highway” takes the cake.
That’s right, a puppet made you cry.
Couldn’t find a version with the subtitles that wasn’t so, well, personal, but Der Weg is a German song written by performed by Herbert Gronemeyer after his wife and his brother died from cancer within days of each other. I used it for my mother’s funeral tribute, after she passed from it too.
“Something Vague” by Bright Eyes. Oof.
“God Damn The Sun” by Swans, from The Burning World – it’s depressing as fuck but very beautiful too.
I was thinking of Heaven Knows I’m Miserable Now
Solitude by Black Sabbath.
It’s probably related to hearing it at funerals so often. All I have to hear is the opening strains, even if it’s in a cartoon or something. If the bagpipe version is played, I’m even more of a wreck. FTR I love the bagpipes; most of my bloodline is Scottish.
You Are My Sunshine. This verse especially:
The other night, dear,
As I lay sleeping
I dreamed I held you in my arms.
When I awoke, dear,
I was mistaken
And I hung my head and cried.
I know I already listed a most depressing song, but aren’t we forgetting the most obvious of the obvious? “How Soon is Now”? I am human and I need to be loved, just like everybody else does…that song was emo before we had emo!
Randy Newman’s ‘When Somebody Loved Me’ sung by Sarah McLachlan for Toy Story 2.
Some great entries here (The Wreck of the Edmund Fitzgerald and Cat’s in the Cradle make me cry every time!). Here are a few more for consideration. . .
Wildfire by Michael Martin Murphey. I mean, come on, who can hear that song and not feel like their heart’s been ripped out?
Diary by Bread
Another Harry Chapin one; Taxi
Fire and Rain by James Taylor
Just for the record, Gary Jules’ version is cover of the original tune, written by Roland Orzabal of Tears for Fears; the song was a hit for that band in 1982. (I know, I know – prehistoric).