Adagio for Strings is depressing, especially in the context of Platoon and "the betrayal"
Henryck Gorecki - Symphony #3 (3 parts) is soul crushing
Alice in Chains - Black Gives Way to Blue is a downer
Audioslave - I Am the Highway
Civil Twilight - Human (moreso in the context of the episode of House, MD that I first heard it)
Death Cab for Cutie - Passenger Seat
Filter - Take a Picture
Nine Inch Nails - Hurt (the music video of the same song sung by Johnny Cash even more so)
Several Radiohead songs, notably Exit Music (for a film) and Street Spirit (fade out)
almost any Sigur Ros song
Vast - Flames
Sia - Breathe Me (end of Six Feet Under was really hard to watch)
And last, song that always used to get me but I haven't listened to in a long time: Bleed, by Cold, off Thirteen Ways to Bleed Onstage