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For me it is Nutshell by Alice in Chains.... how about you?
http://www.youtube.com/watch?v=4N3N1MlvVc4
I think that the first note on the trumpet that Miles Davis plays in Blue in Green is the saddest note ever played.

http://www.youtube.com/watch?v=PoPL7BExSQU
This is up there among them...

http://www.youtube.com/watch?v=ZFxCBnPnwo0
Feels bad man.
http://www.youtube.com/watch?v=VUhpSixfwB8
The Smiths - I Know It's Over


feels bad
Post edited October 24, 2011 by Corax
I find this one very...bleak:

http://www.youtube.com/watch?v=9BP-LIntM6c
All we are is dust in the wind...

http://www.youtube.com/watch?v=1qxSwJC3Ly0

Sound of silence
Post edited October 24, 2011 by WBGhiro
Hotel California, ever since I heard it suggested that the song is a metaphor for cancer.
When Truth Turns Its Head by Unholy. Unholy was a Finnish doom band in the 90's.
http://www.youtube.com/watch?v=Phq3sKd_ZGE
Set Fire to Flames - In Prelight Isolate.

Set Fire to Flames are a post-rock side project made up of members of Godspeed You Black Emperor and Silver Mt. Zion. Their "music" is very minimalist in nature and somewhat defies categorization; some call it experimental art-rock or drone ambient, as it has elements of both. They aren't big on lyrics, unless it's part of some sampled distorted feedback they lay down on a track.

Anyway, this track is one of their longer "pieces." Listening to it evoked for me very much the soundtrack of a psychotically depressed individual.
Hey, That's No Way to Say Goodbye by Leonard Cohen.
Frankly, modern mainstream love songs depress me the most. They also hurt my brain.
That one song where that singer goes "I'm suicidal, and it's for youu!" or whatever (I'm under the impression that it's kind of popular and considered sane and not crazy&creepy) is a great example. It makes me feel like the society's going to hell in a hand basket.
Dust in the wind by Kansas.
it's a beautiful song but the lyrics are quite depressing.