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There was that song from the Gears of War 3 Trailer "Ashes to Ashes" Something about the vocalists voice just makes that frown stay down :(
Every single "pop music" song of the last decade. They all make me feel like an emo that has no more reasons to live on in this fucking world....
September Come Take this Heart Away by Carissa's Wierd
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KingofGnG: Every single "pop music" song of the last decade. They all make me feel like an emo that has no more reasons to live on in this fucking world....
You're not alone... Anyway,

http://www.youtube.com/watch?v=yHkcAHpzSnU
It may not be the most depressing, but the one (in English) that came immediately to mind was Embrace by Low. I Grieve sung by Peter Gabriel is another.
http://www.youtube.com/watch?v=cKo4FMzt_hM can you actually call that singing with william shatner..
Post edited October 24, 2011 by lugum
reaver shows his age
"Happy Birthday to You"

Or half the songs off Tears for Fears' first album.
R.E.M.'s "Everybody Hurts" was pretty depressing when I was a teenager, even though it's actually an uplifting song.
Opeth - Isolation Years (top off my head)

http://www.youtube.com/watch?v=C8S55bLP-pE

Stupid video - amazing song
"The Great Below" by NIN is rather soul shattering, if youre in the wrong/right? mood.

http://www.youtube.com/watch?v=pev0dINRaok
A lot of Chinese songs are depressing, both old and new. If you understand Chinese:
孙燕姿 - 我不难过 - Local singer who made it big in Asia, song is addictive as hell, but depressing as fuck.

Someone already linked it:
Bohemian Rhapsody by Queen

No Doubt - Don't Speak
Post edited October 24, 2011 by cw8
Tori Amos' cover of Eminem's '97 Bonnie and Clyde is black as hell.

The whole Low album by David Bowie is about depression, isolation, nihilism and defeat.

Um, Emma by Hot Chocolate?
http://www.youtube.com/watch?v=b8FpTw65Vks&feature=related

Gloomy Sunday (the Hungarian version) by Rezső Seress. aka the Hungarian Suicide Song


Although the Billie Holiday version isn't too bad either
A Shelf in the Room

If the title doesn't depress then the song will! The 90's music scene was tainted by this song because I had to wake up to it when I was in high school.