Listen to a Mountain Goats album and then come back trying to say your stuff is sad. John Darnielle just has this amazing way of making you feel like shit about life. They aren't "bring tears yo your eyes" sad, but rather "I feel like shit" sad. I recommend
The Sunset Tree, but any of them will do.
The Sunset Tree is a biography of Darnielle growing up and dealing with the abuse from his stepfather.
Also, anything by Cloud Cult. But first, a little background.
Lead singer, Craig Minowa had a baby son Kaidin, who died at the age of two. This fucked Minowa up so badly that he locked himself in a room for a year and wrote 100 songs, nearly destroying his marriage. From that point on up until their most recent album, every goddamn song was about how sad he was that his child died. Listen to their album
The Meaning of Eight and try to keep a dry eye.
And of course, you've got country music, the most depressing genre of music out there. Here's two big hitters for me.
Brad Paisley's "Whiskey Lullaby"
And Emerson Drive's "Moments"