Hank Williams Jr’s “I’m So Lonesome I Could Cry” is my definitive depressing ditty.
jjimm, good call on Brel.
Now, be aware that I say this as a fan of Joy Division’s Atmosphere, The Smiths’ Asleep, and many, many, many cheery Goth songs:
The most depressing song I know is “Goddamn The Sun” by The Swans -
“I’ve got one thing to say
before I am drunk again…
Goddamn the sun, goddamn the sun
Goddamn anyone who ever says a kind word”.
It’s the voice that does it - more emotive than Cash’s drunken wino imitation on Hurt , by far.
Closely followed by This Mortal Coil’s The Jeweller:
“He know the use of ashes…he worships God with ashes”
and
I* come and Stand at Every Door*(words by Nazim Hikmet):
"I come and stand at every door
But no one hears my silent tread
I knock and yet remain unseen
For I am dead, for I am dead. "
Wow, MrDibble it’s rare to see a mention of Swans. Oddly enough though, this video of Swans covering Joy Division turned up on Fark a couple of days ago.
Sadly I can’t find any video of Brel performing Le Moribund, but I have found a pretty good literal translation of the original lyrics. Compare with the bowdlerised English language version. This verse:
Was subsituted for the original:
Ouch.
Love Has No Pride (Bonnie Raitt version)
The Promise (Tracy Chapman)
“Evaporated” by Ben Folds Five is on the top of my list, with Sondheim’s “We Do Not Belong Together” from Sunday in the Park With George following close behind.
VNV Nation - “Forsaken”
The day you died, I lost my way
The day you died, I lost my mind
What am I supposed to do?
In case y’all are not familiar with Red House Painters, from Katy Song:
“a chance for calm
a hope for freedom
outlet from my cold solitary kingdom
by the forest of our spring stay
where you walked away
and left a bleeding part of me
empty and bothered
watching the water
quiet in the corner
numb and falling through
without you what does my life amount to”
Alice in Chains “Nutshell” comes to mind:
We chase misprinted lies
We face the path of time
And yet I fight, and yet I fight this battle all alone
No one to cry to, no place to call home
From the O’ Brother Where Art Thou soundtrack
You are my Sunshine and O’Death
From A Parie Home Companion soundtrack
Goodbye to my Momma.
Oh and I personally find all of the Kid Bob disks very very depressing.
Amen! I was shocked at no mention of “Famous Blue Raincoat,” “Avalanche,” “Dress Rehearsal Rag,” “Paper-Thin Hotel,” and, oh yeah, THE GUY’S ENTIRE OUEVURE.
I absolutely love Cohen, but he makes me want to blow my brains out. 
Here’s the rest of my list, you amateurs!:
Big Star - “Holocaust”
Joy Division - “Atmosphere” and all of Closer, which is literally the soundtrack to a suicide.
Bert Jansch - “Needle of Death” (try listening to that one a few times without blowing your brains out!)
the Mountain Goats - “Woke up new” (listen to that one before you go to bed and you won’t want to wake up)
Lou Reed - all of “Berlin”
Scott Walker - “Big Louise”
Jackson C. Frank - “Milk and Honey” - used to great “take a bottle of pills ASAP” effect in The Brown Bunny
Red House Painters - “Katy Song” and “Grace Cathedral Park”
the Magnetic Fields - “Railroad Boy,” “I don’t believe in the sun,” “100,000 Fireflies”
Man, I’m just warming up.
I’ll echo Harry Chapin’s “Better Place to Be” and add Meatloaf’s “**Objects in the Rear-View Mirror. **” Both of these can bring tears to my eyes under the right circumstances. Also, I remember my dad singing me an old folk song called “Scarlet Ribbons” which was very emotional, although not really depressing.
Edited to correct spelling.
Two from Pink Floyd- “Two Suns in the Sunset,” and “Shine on You Crazy Diamond.”
David Gilmour- “Out of the Blue.”
Sugarcult- “Counting Stars.”
Dropkick Murphys- “The Green Fields of France.”
I’m somewhat a connossieur of stuff that’ll make you (me) cry; I could go on for days.
Simin & Garfukel-A Most Peculiar Man
He turned on the gas and he went to sleep
With the windows closed so hed never wake up
To his silent world and his tiny room…
and
Marty Robbins- They’re Hanging Me Tonight
I took my pistol from my hip and with a trembling hand
I took the life of pretty Flo and that good for nothin’ man
That good for nothin’ man!
I think about the thing I’ve done I know it wasn’t right
They’ll bury Flo tomorrow, but they’re hanging me tonight
I say that about a lot of Lori Carson’s music - it’s “music to commit suicide by.” Don’t listen to it when you’re depressed.
“My Sister” by Tindersticks is very depressing. The high point of the subject’s life is being born. It’s all downhill from there.
I am a huge fan of both the early grindcore stuff and the later folky stuff. It amazes me that they aren’t better known. And thanks for the video link.
Sour Times - Portishead
Bittersweet Symphony - The Verve
Hero of the Day - Metallica
Send in the Clowns
Hurt - Johnny Cash
Oh, Father (?) - Madonna
Live to Tell - Madonna
I Dreamed a Dream from Les Miserables always makes me pretty depressed.
The Cowboy Junkies are very melancholy, though I love them. They do have the Raritis, B-Sides and Slow Sad Waltzes album that, despite its name, has a couple of great upbeat songs on it.
ETA: Oh, and another vote for Hurt by Johnny Cash. The song alone is incredibly sad. The video along with it makes me want to bawl like a small child.
Check out this post for more information about Seasons in the Sun as well as some interesting links about other versions.
“He Stopped Loving Her Today” by George Jones
“Don’t Cry Daddy” by Elvis Presley
“Daddy Don’t You Walk So Fast” by Wayne Newton