Just curious, is this a cover of the Queen song found here? http://www.youtube.com/watch?v=Zo52T7uKOJU
2nd Argent Towers’ BJM recommendation, and add “I Am Trying To Break Your Heart” by Wilco. Enjoy.
Nine Inch Nails - Right Where it Belongs
Thåström - FanFanFan
No other. The Seal version was from the Freddy Mercury Tribute Concert.
It’ll get mentioned eventually, so I’ll get it while the going’s good.
Leonard Cohen - Dress Rehearsal Rag.
also
Rezso Seress - Gloomy Sunday (and a bunch of covers)
Assemblage 23 - Disappoint
lots of stuff by Joy Division (Twenty Four Hours, A Means to an End, Something Must Break, etc.)
The entire album “Electro-Shock Blues” by Eels.
My playlist is called “Wristcutting.”
How about
‘Alone Again, Naturally’ by Gilbert O’Sullivan
“Suicide Note” by Johnette Napolitano (does exactly what it says on the tin)
“Amen” by Jewel
No Smiths? Not quite Joy Division, but comes close: Unloveable, Half a Person, even solo Moz stuff like* Every Day is Like Sunday*, all stuff-the-CO-pipe-in-your-car-window good.
Then there’s my personal favourite, Swans, with such greats as Failure, God Damn The Sun and Jane Mary.
The Sisters of Mercy’s* Some Kind of Stranger*, Marianne and 1959 are cheery, cheery fun. What do you expect from a band named after a Cohen song, though.
Time for a drink, I think.
Diamanda Galas’ covers of both* Gloomy Sunday* and My World is Empty Without You. Any version of either of those two songs really, but Diamanda always cranks things up a few notches.
How about a Violent Femmes triple – “Add It Up,” “Kiss Off,” and “Country Death Song.”
It’s Annie Lennox singing “Into the West” from the LotR soundtrack for me. Another that sets me off is probably any cover of Leonard Cohen’s “Hallelujah.”
Some good suggestions so far, I particularly support Gloomy Sunday – it’s basically the archetypical wristslasher song; not only did the composer end up killing himself, various urban legends allege it to be responsible for ‘waves’ of suicides from the nineteen-thirties on – and Leonard Cohen’s Hallelujah, though I always thought Jeff Buckley’s version really amped up the melancholic frailty.
Some other suggestions – The Mountain Goats (who I love dearly) have a fine assessment of suitable songs, I can only suggest digging into their discography, for starters Get Lonely, Maybe Sprout Wings or Hidden Places, all from the album Get Lonely; Casiotone for the Painfully Alone (don’t that sound cheerful?), Don’t They Have Payphones Wherever You Were Last Night; Bonnie ‘Prince’ Billy’s (I’m a bit surprised he doesn’t seem to have turned up yet) entire album I See A Darkness, particularly the title track; and lots of people find the mid-period work by Nick Cave & The Bad Seeds to be very depressing, though to me the underlying strain of dark humour offsets that notion – in any case, it’s damn fine music, and you could do a lot worse than for instance checking out the album The Boatman’s Call, which is a pretty sombre dealing with past relationships, particularly the tracks Where Do We Go Now But Nowhere and People Ain’t No Good. Also, Arab Strap are always good for a nice dose of gut-wrenching melancholy, and PJ Harvey’s latest album, White Chalk, is a thing of absolutely frail, sad beauty.
Joy Division’s “The Eternal” on side 2 of their Closer album, pretty well hits the mark, imo.
I’ve noticed that, too, you can practically tell his condition by the way he sings. But the content of the songs just doesn’t quite match the depressing delivery except in “No Love Lost”, which is possibly the most depressing song ever.
For those who don’t know,
There’s a voice-over in the middle about the namesake of the band, the “Joy Division” or prisoner-prostitutes of the Nazi camps.
One song from Dave Matthews’ solo album that gets me every time is “Gravedigger.”
Gravedigger,
When you dig my grave
Can you make it shallow
So that I can feel the rain?
Tom Paxton has written a few such songs, including “Now That I’ve Taken My Life,” “Jimmy Newman,” “Crazy John,” “Uncle John,” and “Cindy’s Crying.”
"Emma" by Hot Chocolate isn’t exactly a pick-me-up. The frustated actress who kills herself leaves a “love letter” to her husband:
“Darling I love you,
But I just can’t keep on living on dreams no more.
I tried so very hard not to leave you alone.
I just can’t keep on trying no more.”
The song is a little melodramatic, but that gets me every time.
These albums are what I was depressed to in my teens:
Everything MrDibble said (sniffle).
The three albums Pornography, Faith and Disintegration by the Cure. You can chuck all of those songs right onto your playlist.
The Smiths: There is a Light That Never Goes Out
Nina Simone: Strange Fruit
Johnny Cash: Hurt (The Nine Inch Nails version works fine, too)
Dead Can Dance: The Host of Seraphim
Tori Amos: Me And A Gun
David Bowie: Ashes to Ashes
My Dying Bride: Sear Me (the second version, from Turn Loose the Swans)
Fields of the Nephilim: And There Will Your Heart Be Also
Beat me to it – I was just coming in to post this one. 
On just one album (Louder Than Bombs), the Smiths have “Heaven Knows I’m Miserable Now”, “Unloveable” and for really upbeat sentiments, “Asleep”:
Sing me to sleep
Sing me to sleep
And then leave me alone
Don’t try to wake me in the morning
'Cause I will be gone
Don’t feel bad for me
I want you to know
Deep in the cell of my heart
I will feel so glad to go
Let’s party!
There are varying stories/legends about how many people supposedly killed themselves after hearing “Gloomy Sunday” (one of the people who wrote the song eventually committed suicide).