I love melancholy songs!
Or songs that tell me I suck.
“Loser” by Z doesn’t actually depress me as such. But it appeals to me as a depressive. People think I’m really weird.
Also, I used to see myself as the horse in Shakira’s “Poem to a Horse” even though I don’t smoke pot.
Bette Midler was Johnny Carson’s last guest ever. A copy of his brief introduction, her words to the audience and the lyrics just as she sang them that night are available. But I don’t think that I had forgotten one word of those breathlessly sad moments that she sang One for My Baby.
The lyrics by Johnny Mercer began as usual:
Quarter to three.
There’s no one in the place
Except you and me.
So set ’em up, Joe.
Got a little story I think you should know.
We’re drinkin’, my friend,
To the end
Of a sweet episode.
Make it one for my baby
And one more for the road.
Got the routine.
So drop another nickel In the machine.
Oh, gee, I’m feelin’ so bad.
Wish you’d make the music So dreamy and sad…
Keep 'em coming man! Nothing like self-medicating your depression with depression songs right? 
Ironically, I’m quite happy with life right now, so I haven’t actually listened to any of the songs posted by you guys. No need to go and screw up my happiness. 
This topic was made for me!
“I Know It’s Over” by the Smiths. Also, “There Is a Light That Never Goes Out” and “Sing Me to Sleep.”
“Seasick, Yet Still Docked” by Morrissey. “Life Is a Pigsty” always gets me too.
I’ll second Beck’s “Golden Age” and everything off his Sea Change album.
End of the world http://www.lyricsbay.com/the_end_of_the_world_lyrics-agnetha_faltskog.html
I will follow you into the dark by DeathCab For Cutie http://www.youtube.com/watch?v=9G8vnmvo-Kw
Bright eyes by Art Garfunkle http://www.youtube.com/watch?v=a502RejLz8s
No surprises by Radiohead 404
Pretty much anything by Evanescence
“Darkness”, from the Police album Ghost in the Machine. A real overlooked gem in their catalogue. At the time I thought Stewart Copeland must be a mind reader, because it’s almost like he was looking into my head when he wrote that song.
This is the one I was going to mention. Talk about bleak - the singer starts out by saying he’s too depressed right now to commit suicide and then things go downhill.
All By Myself… haven’t got enough caffeine in me to remember the singer, but it’s the story of my life and I cannot listen to it without crying.
Joy Division : Atmosphere
This Mortal Coil : The Jeweller
Tom Paxton’s Jimmy Newman
A song about a guy trying to rouse his soldier buddy so they can catch the plane to go home.
Alright, ya ready? 
Man of the World - Fleetwood Mac
Tears of Rage - The Band
Tears in Heaven - Eric Clapton (no one’s mentioned this one yet?!)
Baba (Father) - Andy Palacio & The Garifuna Collective
Falling Awake - Gary Jules
Aubrey - Bread
Both Sides Now - Joni Mitchell
Trouble - Cat Stevens
Riverside - John Gorka
I Shall Not Walk Alone - (I think a few people have covered this, I think the saddest version I’ve heard is the Blind Boys of Alabama version)
Leader of the Band - Dan Fogelberg
Someday Never Comes - Creedence Clearwater Revival
Some Devil - Dave Matthews
Oh, and my most embarrassing admission: “Carrie” by Europe
(what?! It IS sad!)
Now, I’m a pretty happy person in general myself, but I love listening to sad songs. I don’t know how or why, but that’s how it is!
How is ‘depressing songs’ beating out ‘feel good songs’? What’s with you guys?!
Speaking of Eric Bogle,
Willy McBride (No Man’s Land) always gets me crying.
As does Killkelly, Ireland. The music’s by Peter Jones; the lyrics are a set of letters he found sent to one of his ancestors, after he came to America.
Wait, WHAT?!! This thread is at over thirty posts and no one has mentioned Tom Waits?!
‘Green Grass’ alone can kill at ten paces. If I even think about it too hard I’m gonna cry. And then we have ‘Hold On’, ‘Cold Cold Ground’, ‘Georgia Lee’, ‘Ruby’s Arms’… I could just keep going.
Another vote for Radiohead, too - specially ‘Exit Music’ and ‘No Surprises’.
Also Jerry Fish and the Mudbug Club, ‘True Friends’.
Well it’s because…
*If someone else is suffering enough to write it down
When every single word makes sense
Then it’s easier to have those songs around
The kick inside is in the line that finally gets to you
and it feels so good to hurt so bad
And suffer just enough to sing the blues
They reach into your room
Just feel their gentle touch
When all hope is gone
Sad songs say so much*
Let’s get someting straight, here: there’s depressing songs… and then there’s Billie Holiday.
At Seventeen by Janice Ian (Janis Ian?)
Loving Her Was Easier (than Anything I’ll Ever Do Again) by Kris Kristofferson
Sunday Morning Coming Down
Sung by Johnny Cash but written by Kris Kristofferson
The Living Years by Mike and the Mechanics
Joan Osborne’s St. Teresa.
I was going to mention that.
Along with Eleanor Rigby.
And on that note (pun! :D): There’s a really good, live version Billie Holiday sings of “I Cover the Waterfront.” It’s on the Seven soundtrack.