I'm drawn to this sort of literature, and I can't think of a more terrifying book than 1984. Probably because it's not specific to any traditionally harrowing experiences (war, imprisonment, abuse, or the like). Rather, it's a study in the thorough dehumanization of the entire population at the hands of government gone horribly awry, and it's made all the more effectively horrible when careful observation betrays so many slight but meaningful similarities to forces at work in the world today. That destruction of our species, on such a fundamental level, is what makes it 1984 uniquely distressing.
Also, it's hard for me to become too depressed reading really well-written or cathartic stories. 1984 is semi-unique in that the language is highly (and intentionally) stilted by its own destruction, and the ending is essentially the final death of free will for all mankind. There's no inspirational prose here, and there's no silver lining either.