Paint it Black - The Rolling Stones
Frank Zappa’s “Watermelon in Easter Hay,” which is merely the greatest guitar solo of all time.
‘Shelter for my Soul’ by Bernard Fanning of Powderfinger fame.
(You know the one - it plays over the end credits of the movie ‘Ned Kelly’. Or was I the only person to watch it?)
Many by Steve Earle. Billy Austin and Ellis Unit One in particular.
Anything from Pink Floyd’s The Final Cut.
Most of Radiohead’s Kid A.
St James Infirmary - old blues standard
And the Band Played Waltzing Matilda - song about WWI Aussies
The Night They Drove Ole Dixie Down - Joan Baez
City of Ruins, You’re Missing, Into the Fire - Bruce Springstein
Ooh, I forgot to finish my post. Also:
“Baby Mine” or whatever it’s called, from Dumbo. It’s about child love though so it may not count.
“Over Now” Alice in Chains. Possibly about love but could also be taken as any sort of relationship/friendship/band/business deal or even life being over.
“Me and a Gun” Tori Amos
“You know you’re right” Nirvana
the already menioned “Something in the way” Nirvana
My husband owns a collection of orchestrated music from the various Final Fantasy games. I have no clue what any of these pieces are called but a great deal of them will make you very depressed to hear.
A couple more by Harry Chapin would be “Bummer” and “Flowers are Red.”
And if parental love is okay, then there’s Michelle Wright’s “He Would Be Sixteen.”
How about the banjo riff Steve Martin does in Let’s Get Small?
You know, the one that goes: “Oh, death, and grief, and sorrow, and murder.”
While most of the gut-rot Blues that have been recorded are about the vagaries of love and romance, a small number were about the irony and inequities of segregation. For example Big Bill Broonzy recorded “Get Back” with the refrain…
- If you’re white, you all right
If you brown, stick around
but if you’re black, Oh brother!
Get back get back get back!*
Another brilliant ditty was by the great Sonny Boy Williamson entitled "The Goat. One verse goes…
- The judge gives the billy goat five hours to get outa town
He gets five miles down the road ands commits another crime
'Bout that time the High Sheriff happens to be camming along
And catches the billy goat eating up the old farmers corn
The High Sheriff carries the billy goat to the county jail
But the desk Sargent says “I’ll go his bail”!
So let him go
"Cause he’s worked so hard we can’t use him in our court no mo’*
And many songs were recorded about needing a drink, such as Piano Red’s “Ten Cent shot”. And Cars, like Lightnin’ Hopkins “Black Cadilac (with those white wall tires.)”. And about broke down cars, like Lightning Slim singing “My Starter Won’t Start”, with the lyric…
- My starter won’t start this morning
No my machine won’t do a thing
I must be got some kinda bad disconection
somewhere in my piston ring.*
Another Gordon Lightfoot, “Black Day in July,” about Detroit’s race riots in 1967:
*“Motor city madness has touched the countryside
And the people rise in anger
And the streets begin to fill
And there’s gunfire from the rooftops
And the blood begins to spill”
…
“The streets of motor city now are quiet and serene
But the shapes of gutted buildings
Strike terror to the heart
And you say how did it happen
And you say how did it start
Why can’t we all be brothers
Why can’t we live in peace
But the hands of the have-nots
Keep falling out of reach”*
Robert Earl Keen’s Not a Drop of Rain perfectly catches the soul-killing ennui of a long drought.
Bruce Springsteen The River
Kilkelly is probably the saddest song I know. It speaks of the immigrant experience as one sided letters written to “John” who had came from Ireland to the States. It is implied that he works on the railroads for a time and never comes back home. I play a version of it and can’t get through it without crying. I wonder if it is copywrited? There are more than enough versions out there of various styles to supply anyone.
Arg, copyrighted.No, I don’t proofread. Link for the grammarians. 
Another one:
Skellig by Loreena McKennitt.
And while I’m at it, the entire album Harbour of Tears, by Camel is sad, especially if your family came over from Ireland.
“Time in a Bottle”.
The Decline by NOFX. It depresses me.
Suburbia, Strange Days, Apparitions, Weapon and many others by Matthew Good.
Under The Bridge by the Red Hot Chilli Peppers. Or is that about love?
Tool, Aenima. Too angry?
Talk Show Host by Radiohead.
My biggest one though:
That’s When I’ll Reach for My Revolver by Mission of Burma. Depressing and entirely too pertinent to my life.