So I just heard Billie Holiday’s “Strange Fruit” and the song just sent chills up my spine with the melancholy piano and haunting lyrics. Can anyone else recommend good jazz to listen to on a rainy day when you’re feeling down in the dumps?
Smile, darn ya! Smile!
You don’t need to be depressed!
Go listen to Louis Armstrong’s “What a Wonderful World”. Life looks better, afterwards.
Or listen to Yoko Kanno & The Seatbelts, off the Cowboy Bebop soundtrack, belting out “Tank!”. Sets the blood pumpin’.
Addressing the OP, there’s something mournful about just about everything Nina Simone sang. Any one of her albums should do the trick.
See also “Blues” and “Fado”.
I seem to remember “'Round Midnight” being a good suicide anthem.
“Goodbye Pork Pie Hat” by Charles Mingus. Beautiful track, and one of my favourites; written after the death of Lester Young, the saxophonist who wore the eponymous hat (I love the name of the track). I can practically see the guys sitting in a smoky bar when they hear the news, and writing that for him. Just make sure to listen to “Better git it in your soul” too to stop you killing yourself.
Specific Nina Simone suggestion: “I loves you Porgy”, from Porgy and Bess. Gorgeous. Or “Ne me quitte pas”.
Just about anything by Chieli Minucci and his band Special EFX. I really like Hands of the Healer and Rainy Sunday off of the Mystique album.
Agreed, although it was used in two movies in an ironic way, juxtaposed with scenes of death and devastation: in Good Morning, Vietnam (as U.S. troops wage war) and in Twelve Monkeys (about a looming pandemic that will kill most of the world’s population).
Try Holliday’s “Gloomy Sunday” if you want depressing. All about joyfully contemplating suicide.
3 movies.
The Anime version of Metropolis used it to devasting effect. Even horrifying effect!
Four
It was used for the closing credits of an 80s BBC sci-fi miniseries about a doomed planet and the doomed future/past survivor of said doomed planet.
For something newer (well, 1999) check out the songs “Self Inflicted” and “Mope” from the Heretic Blues album by Kevin O’Donnell’s Quality Six.
The singer, Andrew Bird, will rip your heart out.
Unforunately, the Amazon preview doesn’t give too much in the way of lyrics 
Five. It was also used in Fahrenheit 9/11.
Six, it was also used in Madagascar to highlight the brutality of nature.
These aren’t are depressing as **Strange Fruit ** (Cassandra Wilson does a version as well) but a couple from **Mo’ Better Blues ** are quietly sad:
Harlem Blues – with vocal
Mo’ Better Blues – instrumental
I remember when I first heard Strange Fruit. It was in literature class. I was in a serious funk for the rest of the day.
Tom Waits can have some depressing songs, and musically he can be kinda close to Billie Holiday. The song Poor Edward is a major downer.