This post somehow reminds me of “The Dutchman” made popular by Steve Goodman.
Long ago, I used to be a young man.
And dear Margaret remembers that for me.
Or even worse, The Final Cut. Many of the depressing songs that have been listed so far are just about ordinary sad things; Roger Waters pens songs (entire albums, actually) about being epically dysfunctional.
The only thing that gives ‘The Final Cut’ a red hot go for competition is Lou Reed’s ‘Berlin’ album. Absolutely wonderful, but beyond depressing, particularly Kids.
I would go with ‘Wish You Were Here’.
also:
‘Pink Moon’ by Nick Drake
‘Sanitarium’ by Metallica
‘Closing in’ by Imogen Heap
‘Walk on the Ocean’ by Toad the Wet Sprocket
Dogs from Pink Floyd’s Animals
Live version of Dogs, no video
PLEASE do not click that link! I posted it assuming that it was the entire song, which it isn’t. The ending of that song is important, and it’s missing from that link. oops.
OK, I got kinda busy and couldn’t get back to this thread, but I see that no one else has posted a bunch of depressing music that I own.
Clem Snide
Your Favorite Music
1989
Johnny Dowd
No Woman’s Flesh But Hers
(I’d list others but they range more from terrifying to disturbed, rather than depressing)
I love Nancy Griffith’s version of Once In A Very Blue Moon. Mary Black does an excellent rendition too (plus it’s all I could find online :smack:)
For those who think that death metal sucks and is unlistenable, check this shit out from the Swedish masters:
Opeth
Windowpane
In My Time Of Need
Death Whispered A Lullaby
Hope Leaves
Those are all from their album Damnation; I highly recommend it.
ok, moving on
Porcupine Tree - Way Out Of Here from the excellent album Fear Of A Blank Planet, which is about the medicated emptiness and cultural void that comprises the lives of so many young people in the UK/US.
Talk Talk
I Don’t Believe In You from the excellent album The Colour Of Spring (1986)
I Believe In You from the excellent album Spirit Of Eden (1988)
That’s a pretty fair sample from my current mp3 rotation. I had a few I wanted to post but I couldn’t find links. Not surprising as the reason I wanted to find links was because they are fairly obscure artists, so you’ll just have to make do with this list for now.
btw, I’ve spent a bit of time tracking other people’s stuff down that I didn’t know and was pleased to find that so much of it was excellent music.
Oh yeah… one other… check out the soundtrack to the film Solaris (the 2002 version, not the 1972 Russian original). Cliff Martinez wrote some hauntingly beautiful melancholy music for the film. It fit the subject matter and visuals perfectly. Unfortunately the album is OOP*, but you can hear some of it in videos people have made and posted on youtube. You can start here.
*I have a copy and I got it cheap for US$90 on ebay from a guy in the UK.
I can be a real wet blanket.
Sunday Morning Coming Down
Alone Again, Naturally
Sounds of Silence (Simon and Garfunkle)
I am a Rock (Simon and Garfunkle)
Casual Conversations (Supertramp)
Hurt (cover by Johnny Cash)
Home of the Blues (Cash)
Only a Dream (Mary Chapin Carpenter)
Empty Garden (Elton John)
Sorry Seems to Be the Hardest Word (Elton)
Both Sides Now (newer version by Joni Mitchell for the film, “Love Actually”)
Call and Answer (Bare Naked Ladies–it’s more an angry song than sad, but if it truly describes the relationship discussed, it’s one depressing relationship)
Pink Floyd’s The Wall–the whole album (from what I remember of it)
You’re No Good (Linda Ronstadt–she did a lot of depressing songs)
Lying Eyes (The Eagles)
And many more–can’t think of them right now.
Christ, kill me now. Who sang this? (and where can I get a copy?)
Harry Chapin–Cat’s in the Cradle. It made teenage me cry when I first heard it.
Dan Fogelberg’s Auld Lang Syne.
This is like pistachios for me. I can’t stop!
Dude (or dudette, if you prefer), that’s Pink Floyd. One Of My Turns, from The Wall.
“Solitude” by Black Sabbath.
Amazing, I can’t seem to get enough of this song.
I don’t remember much of PF The Wall–I mostly listened to it stoned out of my mind. I haven’t gone back and gotten the album as an adult.
I prefer Queen of All She Surveys, btw. 
Samuel Barber’s Adagio for Strings
The video’s context - the BBC Orchestra performing in honor of the 9/11 victims four days later - only adds to the mood of complete despair.
Well, since I listen to country, and I’m not really into the outlaw/badass bad boy style country, a lot of the songs I listen to are sad/depressing. Not all of them, but many. I don’t think of “The Dance” as being truly depressing – the melody is somewhat melancholy, but the lyrics are bittersweet, not desperate.
A few of my favorites (to listen to, no comment on the videos):
“You Were Mine” – The Dixie Chicks
Rainin’ You – Brad Paisley
You’ll Never Leave Harlan Alive – haunting song with good covers by both Patty Loveless and Brad Paisley
Dust in the Wind – Kansas
All we do
crumbles to the ground, though we refuse to see
Dust in the wind, all we are is dust in the wind
Well, fuck, when you put it that way …
and I can feel, One of My Turns coming on,
I feel,
cold as a razor blade,
tight as a tournniquet,
dry as a funeral drum.
you’re welcome
When I’m in a wallow mode, I listen to this Billie Holiday song:
http://www.youtube.com/watch?v=0677H1EPdB0
It’s filled with hope, yet somehow, it gets me crying. As** kenobi 65** points out, some songs just echo our lives.
BTW, great musicians on that clip.
New Destination -Kottonmouth Kings.