"Wake Up Dead Man" by U2 (I know, U2!?) is also pretty depressing.
"Jesus, Jesus help me
I'm alone in this world
and a fucked up world it is too"
And who can't love that great, soothing lullaby "No Surprises" by the masters of depression, Radiohead?
"I'll take a quiet life
a handshake, some carbon monoxide
with no alarms and no suprises
no alarms and no suprises
silent"
"I Want You" by Elvis Costello is also good. One of the most intense 6-minutes of music you'll ever hear.
EDIT: I just read this description of "No Suprises", which is depressing in itself.
"This is a song about what happens when you become dead inside. Floating, drifting far above the world. Participating in the routines of the everyday world, an imitation of life. But there is nothing left behind your eyes, no pain or joy, no sorrow or hope. Just the endless void, the endless abyss, the lost ones in the blizzard walking the endless road. You pretend. You try to kid yourself that you can live your life. You try to lose yourself in a million pointless details, and while away your life until its end. Each day the same, melting into one another, passing by in a blur across eyes that cannot see, eyes that have seen too much.
And you're never really alive. Never really there."