I’d have to go with “The Ballad of Lucy Jordan” by Marianne Faithfull. Beautiful song with something of a happy ending but OMG.
For Springsteen, I’d go with I Don’t Wanna Fade Away and Wreck on the Highway. Or Downbound Train. Or My Hometown. Or most of Nebraska.
I can’t believe this thread got to two pages without someone mentioning “Mad World” by Gary Jules, from the Donnie Darko soundtrack. One of the few songs that has ever made me cry.
“I Need Some Sleep” by Eels is also a good one, as is “Something Vague” by Bright Eyes. But when it comes to just downright bleak and hopeless, “Mad World” wins by far.
I used to tell my daughter that if I ever slit my wrists, Bring Me To Life by Evanescence would be the music playing. The song echoes the sort of chaos and dissonance that would have to be in my mind to make me do that.
(Not that I’m threatening the kid that I’ll commit suicide; we were just discussing the song - she loved it, I couldn’t stand it.)
Why not go for the real thing?
Slit My Wrists, by the Loud Family, from the album Plants and Birds and Rocks and Things
…
The more alone I felt the more the celebration grew
All the way down Van Ness Avenue
But I no longer take so lightly walking down that street
With nothing left between it and my feet
But what I need is not cut cost
What I need is a life where I’ve won
All the times that I’ve lost
What I need is not ways to go on
What I need is to slit my wrists and be gone
The Chieftans and Sinead O’Conner did a version of The Foggy Dew. that could make anybody who admires brave men weep.
Agua y Sal by Rosario.
Wither Blister Burn & Peel, the whole album by Stabbing Westward is one big angstfest, including a song from the point of view of a girl who has been repeatedly sexually abused by her father.
Mekong by the Refreshments.
Brick by Ben Folds Five, what may be the most depressing song ever written.
Round Here by Counting Crows.
Keep it coming. I have heard a few new ones (to me) and got reacquainted with some others. I have downloaded like 7 or 8 from your choices.
Oh God, this. I loved that album as a teenager because it was just so, so angsty. Now, I listen to it and hope whoever wrote those lyrics is doing okay, because…wow, he must have been feeling some strong emotion.
To add to this, “A Warm Place” by Nine Inch Nails always gave me images of sort of crawling into a cozy oblivion, like slitting your wrists in the bath.
Some heavy metal albums:
Anathema Serenades
Anathema The Silent Enigma
Anathema Alternative IV
Anathema A Fine Day to Exit
Katatonia Brave Murder Day
Katatonia Discouraged Ones
Katatonia Tonight’s Decision
Opeth Morningrise
Opeth My Arms, Your Hearse
Tiamat Prey
Type O Negative Bloody Kisses
I’m perplexed by those people choosing Bruce Springsteen & Elton John songs…they must have never listened to REAL gothic rock. 
I found Alanis Morissette’s “Supposed Former Infatuation Junkie” album to be pretty damn depressing.
Not that I disagree with your other choices for these bands, but no love for Anathema’s Judgment, Katatonia’s Viva Emptiness, or Opeth’s Still Life?
Down on Terminal Street by Be Bop Deluxe is the ultimate in this.
Lyrics sample:
I find Peter Gabriel’s Mercy Street to be both dreamlike and very sad.
I second Assemblage 23’s 30KFT. For that matter, a lot of their (his) stuff is very depressing (for example, Fallen Down and Disappoint).
Me and a Gun by Tori Amos.
Oh Life (There Must Be More) by Alan Parsons
High Hopes by Pink Floyd.
At Seventeen by Janis Ian.
Meh, all of Stabbing Westward’s lyrics were like that. By the time they got to the third album, it started to devolve into self-parody.
Don Henley:
Holly Cole’s cover of I Don’t Want to Grow Up makes me want to crawl back into bed and pull the blankets over my head as well as anything I’ve heard.
(Stolen Car)
She asked if I remembered the letters I wrote
When our love was young and bold
She said last night she read those letters
And they made her feel one hundred years old
(Fade Away)
Well now you say that you’ve made up your mind
it’s been such a long, long time since it’s been good with us
And that somewhere back along the line you lost your love and I lost your trust
Now rooms that once were so bright are filled with the coming night
(Nebraska)
They declared me unfit to live
Said into that great void my soul be hurled
They wanted to know why I did what I did
Well sir I guess there’s just a meanness in this world
Back to Black ~ Amy Winehouse
Neither One of Us Wants to be the First to Say Goodbye ~ Gladys Knight
Dance with My Father ~ Luther Vandross
Cats in the Cradle ~ Harry Chapin
Eleanor Rigby ~ The Beatles
Menotti’s opera, “The Consul”. It’s about a family trying to escape from a country behind the Iron Curtain. It’s one of the most despair-filled works of any kind I’ve ever come across.
A grandmother sings a lullaby with a sweet melody to a sleeping infant. It might be available as a separate aria:
“…Sleep, my child, sleep for me,
My sleep is death…
Let the old ones watch your sleep,
Only death will watch the old.”
The major and most famous aria of the opera is the powerful “To this we’ve come”, sung by the heroine, Magda, and it’s widely available separately: “To this we’ve come, that men withhold the world from men. No ship nor shore for him who drowns at sea. No home nor grave for him who dies on land. To this we’ve come: that a man be born a stranger upon God’s earth, that he be chosen without a chance for choice, that he be hunted without the hope of refuge. To this we’ve come; and you, you too, shall weep…Look at my eyes, they are afraid to sleep…What will your papers do? They cannot stop the clock. They are too thin an armor against a bullet…”
In the final scene of the opera, Magda kills herself by turning on the gas in her apartment. As she dies, she hallucinates a chorus of familiar people around her, singing cheery stuff like “Lo! Death’s frontiers are open. All aboard!”