Excellent example. I loved TSNOTD; TDB was relentlessly, brutally sad.
I had a teacher in grade school who would read us a chapter of WTRFG every Tuesday after lunch. After about 3 chapters, I decided I couldn’t take it anymore, ran to the library and checked out my own copy so I could read the whole thing. I think I cried for an hour. But the real horror was when I came in from recess the next Tuesday and realized that not only was I going to have to relive the entire experience over again, but no one in the class knew what was coming and I couldn’t do anything about it.
I came here to post “A Prayer for Owen Meany”, one of my all-time favorite books! It’s one of the few books I’ve read several times, laughing hysterically one minute, and with tears streaming down my face the next at different points during each read, but in the end, it’s truly heartbreaking. (Damn, that baseball!)
I’ve not read any of the others you mentioned, but it looks like I’ll have to buy them on Amazon.
This is my choice, too.
I read it in high school and it really got to me.
“Painted Bird” by Jerzy Kosinski
I loved Crime and Punishment. I didn’t find it depressing at all. But your reaction to it reminds of The Enormous Room by E. E. Cummings which recounts the time he was a prisoner during World War I. It definitely affected my “real-world moods.”
Re: your last statement, no they don’t, they just contemplate it. You know what the decision was because the last paragraph of the book is the first repeated. That is the ending to another of his books, though.
I have to second Outer Dark. It’s beautifully written, but I never wanted to punch an author in the face more over an ending. That whole journey and all she struggled through, and for what??
Infinite Jest.
I’m very careful, before reading a book, to make sure there are no animals being killed or mistreated in it. (I do better with humans being killed or mistreated :rolleyes:). I am very careful about that. I won’t read Water For Elephants because of elephant abuse.
I nominate Jude The Obscure, Of Human Bondage, The Road - enjoyed them all though I cried a bucket of tears.
I don’t suppose this counts, but there is one chapter in Sharyn McCrumb’s “The Hangmans Beautiful Daughter”, I think, that was SO SO sad to me when I was a new mother I completely lost it and howled sobbing into my pillow for ten minutes straight.
This book remains to this day the first book to truly gut me to my very core.
It is a treasure.
+1. I listened to this book on audio and felt all the way through how stark and tragic it was. But in a GOOD way. 
On the beach.
In 4th grade I read My Brother Sam is Dead and it had me in tears at the end. Choked me up again when I reread it a few years ago after seeing it had been added to the list of banned books in the county in which I went to elementary school.
In the last two weeks I’ve re-read The Catcher in the Rye, The Great Gatsby and Of Mice and Men. I don’t know if any of them alone earns the title of the most depressing book I’ve ever read, but the three of them in succession are pretty damned bleak. And yet I love them all.
Since these books are all at least 60 old, I don’t think I’m giving anything away, but…
We know from the first page that Holden is heading for a breakdown of some sort. His authentic self, which is naive but sweet, is disappearing underneath the cynicism he feels he has to protect himself with. Most of the people he meets just make things worse - except for the kids, the kids he wants to protect by catching them in the rye.
Gatsby did it all for love - but the society he tried to fit into takes what he offers and destroys him for it, and in the end, all the people who came to his parties and enjoyed his home and food and drink can’t even be bothered to come to his funeral.
George and Lennie have such a simple dream, a dream that if the universe was fair should have been theirs long before. And just when it seems within their grasp, something that should have been a small problem goes horribly, horribly wrong, and Lennie will never get his rabbits.
Do graphic novels count? If not, they should. If yes, then Maus. It’s a Holocaust tale told through the eyes of a survivor’s adult son. The Jews are mice, the Germans are cats. It won a special Pullitzer prize. It is a brutal masterpiece. I never cried so hard in my life.
A Day in the Life of Ivan Denisovich for me. Bleak, wonderful.
No mentions for The Giving Tree? When I read the story as a parent, I literally cried.
The Handmaiden’s Tale. Horrifying too.
At School: Tess of the d"Urbervilles.
As an adult: Joseph Heller’s Something Happened.
I quit reading Rabbit, Run when the baby drowned.
Jon Krakauer’s Under the Banner of Heaven. Religion can sometimes reflect the worst in humans, too.