Naked by Mike Leigh, where a nihilistic man just walks around, tries to rape a woman, talks about philosophies and destroys lives. Holy fucking shit that was depressing.
I also remember watching this film when I was about 13/14 about this father going through every little pornshop/show/brothel. One disgusting piece of nightlife after the other to look for his daughter who had apparently turned to drugs and prostitution. Only for her to tell him to fuck off when he finds her. If any one knows the name please post it.
then of course there's all of Darren Aronofskies films. Black Swan, Requiem for a Dream and PI(like in math) are probably the most emotionally heavy films to watch.
If you liked taxi driver, I'd watch "the king of comedy". It's basically a comedy remake of taxi driver, also by Scorceses and also with Robert De Niro in the lead. It's pretty funny but a hundred times more sad if you think about it.
The hardest film I can think of though is "Synecdoche: New York". It's incomprehensible (no seriously, I don't use that term lightly EVERYTHING in that movie is up for interpretation).
There's a small part of the story where the main character has his daughter stolen from him by his now ex-wife. She becomes an artist/sexual deviant with her whole body tattoo'd. He wants her back so bad but she becomes terminally ill. the last thing she says to him before she dies is that she hates him. And it actually get's worse for the main character from there on.
I love that film purely for the emotional impact, but i'm not sure I can bear watching it ever again.