The usual suspects have already been named, but I didn’t see Wharf Rat by the Grateful Dead, which is easily up there.
Lynyrd Skynyrd - Tuesday’s Gone
It’s so depressing I don’t even know why I listen to it sometimes.
VNV Nation: Forsaken (vocal version)
VNV Nation: Left Behind
Nine Inch Nails: A Warm Place
Tori Amos’ cover of Somewhere over the rainbow
Tori Amos: Silent All These Years
Tori Amos: Hey Jupiter
Tori Amos: Twinkle
Nine Inch Nails - “Something I Can Never Have”
Kate Bush: This Woman’s Work
Sarah Mclauchlan: Last Dance, Angel, Full of Grace
Nine Inch Nails: The Great Below
Paula Cole: Nietchze’s Eyes
Touch of Grey - Grateful Dead
Every silver lining
Has a touch of grey.
I second Tears in Heaven.
“Expecting to Fly” by Buffalo Springfield.
Sad and funny: “Disco Boy” by Frank Zappa.
**Ick. I heard this song the day my mother died, when I was 16. Like a punch to the stomach it was. 
Rolling Stones “You Can’t Always Get What You Want”
Smashing Pumpkins “For Martha”. Another one for those of us that have lost a parent.
Definately “Angry Chair” by Alice in Chains. The tortured singer Layne Staley recently died because of his heroin addiction, and he wrote about it in his songs.
Loneliness is not a phase
Field of pain is where I graze
Serenity is far away
Saw my reflection and cried
So little hope that I died
Feed me your lies open wide
Weight of my heart, not the size.
These lyrics show just how sad his life was. He needed the heroin to live by, but it caused him so much agony hence his field of pain where he grazed.
Just about anything by Black Tape for a Blue Girl depresses the hell out of me. If I’m already depressed, well, let’s just say the waterworks don’t take long to start.
Gymnopedie, by Eric Satie.
The Tower and The Girl With April in Her Eyes, both by Chris De Burgh.
“The Queen and the Soldier” by Suzanne Vega. Gets me every time.
Bonnie Raitt – “I can’t make you love me”
Kris Kristofferson – “Sunday Morning Coming Down”
also his “Casey’s Last Ride”
I think Leonard Cohen is more depressing than sad – very cynical looks at life. (For the ultimate in that dimension, check out the lyrics to “Everybody Knows”.)
Actually, I was going to throw a track from Black Tape on my list, but I couldn’t remember the title. It’s the very first track from This Lush Garden Within that starts out with the crickets chirping and amazing piano … that song is just beautiful!
Colin
John Prine: “Hello in There”
Pink Floyd: “Mother” and “Comfortably Numb”. Hell, half of “The Wall”
DuMb- nIrvana.When the Cello kicks in…
Jitterbug boy-Tom Waits. Drink and tell me differently.
Where were you?-Jeff Beck
Beat me to it. One of my favorite songs as well. Ok, my favorite.
My contribution? Most songs by Blink 182. I stopped singing about highschool the second it ended, if I was still doing it when I was 30 I’d hope someone would shoot me.
“Shooting Star” by Harry Chapin
“The Wreck of the Edmund Fitzgerald” by Gordon Lightfoot
“Jody and the Kid” by Kris Kristofferson
“Someone to Lay Down Beside Me” by Karla Bonoff
The Ice of Boston by The Dismemberment Plan.
It’s about being alone on new years eve.
House of Pain - Faster Pussycat
Pepperlandgirl, I can’t believe you didn’t include Long long long.
Take a knife, stick it in my heart, and twist it…
The Winner Takes It All - ABBA
China - Amos, Tori
Price I Pay - Bragg, Billy
I Know Him So Well - OST Chess
Heaven Help My Heart - OST Chess
Sister of Night - Depeche Mode
Je t’aime - Fabian, Lara
Ainsi soit-je - Farmer, Mylene
Consentement - Farmer, Mylene
Puisque - Farmer, Mylene
Ghost - Indigo Girls
Sorry Seems to Be the Hardest Word - John, Elton
Tonight - John, Elton
Dust in the Wind - Kansas
Crying - Orbison, Roy
Tears Never Dry - Simmonds, Steve
Fragile - Sting
Vienna - Ultravox
History - The Verve
Mr. Blue - Yaz(oo)
The Tubes : Love’s a Mystery (I Don’t Understand)
Steeleye Span : The Weary Cutters
Charles Ives : The Unanswered Question